Psychologically speaking, it is very normal for a heterosexual person to have homosexual thoughts and fantasies. It doesn't mean the aren't straight, it just makes them normal. Sexuality is also much more fluid than most people realize. And as Anna Lorree pointed out, there is an aspect to the fantasy of dressing up as and being treated as a woman.
There is also the social approach that sexuality in men is a very sacred subject. It is one thing to act and look feminine, but to have sex with another man is perceived by many to be a completely demasculinizing thing. This partly stems from men typically being insecure and having fragile egos. But for some I would suspect the strongest factor is it is a threshold and an unwillingness to completely let go of their masculinity.
Personally I think everyone (cis or trans) should just let go, explore and experiment, try new things, and then make a decision. Afterall it's just silly to try to cling onto one private mainstream behavior when your lifestyle and presentation is anything but mainstream.
