To answer the question in the title: "Does it matter if I'm not gay?"
It depends on what you mean by "Does it matter"
Yes, if you mean "Is it still a problem if I'm not gay?"
It's making you uncomfortable - your boss intentionally doing something to make you uncomfortable is definitely something that matters! Further it matters because without something happening to stop this behaviour by your boss he's just going to continue it with other employees in the future.
It's also worth noting that in Illinois it's illegal to bully someone on the basis of sexual orientation, actual or perceived.
Since June 1, 2006, Illinois has protected LGBT persons from discrimination. The anti-discrimination law adds "sexual orientation" to the state's existing nondiscrimination statute which already bans discrimination in employment, housing, public accommodations or credit on the basis of race, religion, ethnicity, gender, age, disability, marital status and military status. The definition of "sexual orientation" explicitly includes "gender identity". Illinois Statutes as the Illinois Human Rights Act quoted; ""Sexual orientation" means actual or perceived heterosexuality, homosexuality, bisexuality, or gender-related identity, whether or not traditionally associated with the person's designated sex at birth. "Sexual orientation" does not include a physical or sexual attraction to a minor by an adult."
The city of Chicago enacted an anti-discrimination law in 1988.
In 2014, Illinois expanded it anti-bullying laws to make them inclusive of LGBT people. Illinois law prohibits bullying based on sexual orientation and gender identity or expression.
You can file a complaint with U.S. Equal Employment Opportunity Commission or a State or Local agency.
Possibly, if you mean "Does the situation change if I'm not gay?"
Some laws protecting people from discrimination based on sexuality don't change whether the sexuality is real or perceived. It's entirely possible that the situation won't change based on your sexuality, however it's equally possible that the perception of your sexual orientation isn't protected and that you only benefit from legal protections when you are actually gay.
In that case the situation could change dramatically leaving you with, potentially, little recourse.
Thanks to Anthony Grist for pointing out that there are at least two possible interpretations of your question
To answer the question in the post: "Is this still sexual harassment?"
Possibly, but it's definitely bullying!
IANAL (not the best abbreviation for the subject matter!) however it could potentially be considered sexual harassment but irrespective of whether it is or is not sexual harassment it's bullying in the workplace.
We (society as a whole) shouldn't accept bullying it's a particularly childish power play and thankfully plenty of places have laws making bullying illegal where it's done on the basis of a "protected characteristic". I.e. Sexual Orientation, Age, Gender, Marital Status, Political Views etc.