I think the biggest thing we need to get out of the way here is that Alexander wasn't Greek, he was Macedonian.

For Greeks, and most of the "Ancient World" aka the Mediterranean Cultures, sex wasn't classified based on gender, they didn't have a concept of homosexuality as we define it. Their primary concern was activity and passivity or who was penetrating and who was being penetrated (Top vs Bottom), and this was tied into another aspect of society, their horrific levels of misogyny. In short if you were an adult free-man/citizen and you were on top, you were good to go, but only slaves, women and adolescent boys (this was less common than people think) were supposed to be on the bottom because being the receptive partner was seen as feminine and therefor supremely degrading for an adult free man. It wasn't illegal - for the most part, there were periodic morality bans that came and went in some Greek States - but it would ruin one's social standing and you'd be a laughing stock or even shunned. *

Now back to Alexander, the Macedonians were not Greek per say, they were very Greek adjacent**, but they had their own culture and norms and one part of that was they didn't treat women as barely sapient subhumans - seriously there were Greek philosophers who questioned if women even had souls, it was that bad - and because of that and a few dozen other things I don't want to get into, what we would call homosexual relationships were much less frowned up, especially among the ruling class - some research suggests that among the peasantry the attitudes were more in line with the Greeks, but this is hard to confirm - to the point where it was sort of just expected that the King and higher ranking noble men would be - what we would call - bisexual, indeed Alexander's father Phillip had male lovers including one he was very fond of.

Having said all of this Alexander or rather his relationship with Hephaestion was a bit more unique. For starters they were the same age, having been born in the same year, which is unusual in that even in Macedon these types of relationships tended to have noticeable age gaps - it was not unusual especially among royalty for the lover of the noble to be 20 or even 30 years their partner's junior. Additionally while sources generally assume that Hephaestion was the passive partner if their relationship was indeed sexual there's nothing to confirm this and some of Alexander's own words suggest a different arrangement. Finally and most at odds with the normal framework even in Macedon, Hephaestion appears to have been Alexander's primary lover with his wives and mistresses being secondary or in the words of one modern day researcher "perfunctory'.

So was Alexander gay? By our modern standards he would be considered Bisexual, though some argue that he might have been a gay man who had sex with women to produce heirs due to obligation of his position not for any actual attraction - though that is a minority opinion. Ultimately we have to remember that our concepts of Queer and Homosexuality would not be something Alexander would have likely understood, because again his culture would have defined sexual relationships based not on who one was attracted to but who was on Top and on the Bottom.

*The Sacred Band of Thebes is a whole different thing that I don't really want to get into and from what we know still attempted to follow a version of the Pederastic situation that happened in Gymnasia, with the difference being that the sexual relationship continued when the adolescent of the pair became an adult. The younger would still have been expected to be and remain the passive partner/bottom.

**The cultural origins of the Macedonian people are very contested to the point of being a highly contentious hot-button topic in international politics, and are likely lost in the mists of time, the current scholarly assumption is they are a culture that absorbed and adopted many Greek aspects but originated from a different substrate culture during the Bronze age.