Actually he is gay, he says himself in game that he was in love with Andrew Ryan. And those people he sends you to kill, his "desiples" are his former lovers. Cobb practacly says it in one of his diaries.
I think he actually is. If you pay attention in the game a few references are made to his sexuality. This is taken from Wikipedia: "Cohen's sexuality is also referenced. Silas Cobb and Martin Finnegan both refer to Cohen as an "old fruit" and Cohen himself refers to Andrew Ryan as "the man I loved." Another example of this is in BioShock 2, The Splicer model "Brute" can also be heard saying 'Sander Cohen. There was a man! Sharp suit, good mustache, took no guff!'"
And while watching a video on Youtube, I found a few other quotes......one being in the part where you have to kill Cohen's disciples, one of them, the one with the southern accent, says: "Cohen, Ryan....two old birds, pullin' on each other's milk sticks!!" I almost died.
When I found his chambers later on in the game, I thought to myself: "Ah, Cohen's bedroom. If these walls could talk (a beat, then a shudder)...let's just be glad they can't..." All you'd hear is 'what has been seen, cannot be unseen...'
Oh yes, Cohen's...."lovely" decorations. I think that pretty much nails exactly what his walls would say. I mean, you still have to love this guy, he is in fact my favorite froot loop, but Sander... I literally had a nightmare about him stripping on one of the poles in Eve's Garden in nothing but a cheetah-print g-string while upbeat Lady Gaga songs play in the background...*shudders at the image*