OK - let me try to explain this...as the married old gay guy who once said the same thing.
Friends are great. And I have all sorts of friends, all across the spectrum. Work friends, school friends, etc. Gay, straight, bi, etc. We have things in common with our friends. (I always think about the old joke - but it's very true - about having a "friend matrix.") And since one of the things about me is that I'm gay, at one point, my husband and I realised we had no gay friends (outside of one who was far away at the time). Recently we realised we only have a few "couple friends" and have been trying to make friends with other couples. (For more on that, see any comedy featuring a couple prominently. LOL)
Why did this matter? Not because our other friends weren't great. But because we wanted friends who understood things about our lives that our other friends didn't.
It's like this...if you're Catholic, or vegetarian, or work late nights, or are still single, and you realise none of your friends are/do, you might say, "We/I don't have any Catholic/vegetarian/3rd shift/single friends." The same could be said for the guy who realises he has nobody to talk to at work, and among his friends, nobody wants to hear about his job...so he might say, "I have no work friends."
I guess what I'm saying is if we take the "gay" out of context, it sounds more like something anyone else might say. It's not really that different than saying, "we have no local friends," which is another thing my hubby and I realised at one point. (Years ago, before we moved back to our hometown.)
That being said...I really think this was just a dumb plot point (like almost all Salem friendships are) to set up Will's harebrained scheme with Paul/Derrick. In fact, I would think the MOST challenging thing in Will & Sonny's life would be that they have no other friends with small children.