My new friend is gay and that disappoints me.
Why does him being gay disappoint you or even matter?
What if they are attracted to me? I don't know what I would do in that scenario.
Don't you have opposite sex friends that don't involve sexual attraction? It's presumptuous to think they'd be attracted to you. Assuming they might be has homophobic undertones.
No, like most people I don't have a problem with gay people, but I'm straight.
Plenty of gay and straight people have completely platonic friendships and there's no reason for you to think that this is anything more than that. Your friend surely knows your straight and will respect boundaries. You should open your mind a bit.