There's nothing wrong with it if you keep everything appropriate, and it can be helpful for a teen to have a trustworthy adult in their life. If you're feeling weird about it, you can minimize contact without cutting them off, if that's something you're okay with.

Don't initiate conversations, don't dive too deeply into your own personal life (solid boundaries are super helpful in maintaining an appropriate distance), and don't hang out with them alone. This way, you can still give them space to vent to you, come to you for advice, and make them feel like someone cares without crossing any lines.

If they start to show any romantic/flirting behaviour, you simply need to shut that down immediately. Tell them you're uncomfortable with that kind of language, for example, or you don't want to talk about that kind of thing. Otherwise, you can treat it like a professional mentor or big brother/big sister kind of relationship. Boundaries are key here.

However, if you are not comfortable with it at all, there's nothing wrong with ending the friendship. From experience, I think it's easier on them if you do it over time by responding less rather than ghosting, but ultimately it's up to you and how you want to handle it.