Why not? You're definitely not alone. There's plenty of people who have opposite sexed fursonas on here, including myself.
The character I've been using as a fursona is based on a story character of mine who I have a lot in common with, but more "idealized", so to speak. He's not a big ball of sunshine and has plenty of flaws that reflect my own, but he also has traits I wish I had. I didn't create him to lust over, though I do find him appealing (not in a "wanna make-out/diddle with" way), probably because I wrote him in a fashion I deeply relate to. The mind is weird.
But yeah, fursonas can be whatever you want them to be. It's for fun, after all.