Why people have sexual fantasies is a very personal matter, but I am convinced that one of the reasons this may occur (as it did for me) is because you believe it is so wrong. So wrong that a part of you desires it. You may believe it is wrong, but there is a part of human nature that thrives on that which we cannot have. There is some part of us that believe these sexual fantasies are exciting. It is the same for many human males, regardless of sexuality.
It might also stem from a mixture of frustration and confusion about the whole issue of your sexuality. I remember feeling just like that.
The only real advice I can give you is to keep an eye on your feelings and try to find where they might have sprung from.