There are some ways in which sexuality is not socially constructed, but there are many ways in which it is socially constructed.
Of course, the basic urge to have sex is not socially constructed. It is something that comes about naturally when we reach a certain age. Even a person who is totally ignorant of sex will feel urges without having been told what those urges are or when to have them. In this sense, sexuality is natural and not socially constructed.
However, there are any ways in which sexuality is socially constructed. Let us look at two of them. To a large extent, the attributes that attract us sexually are socially constructed. We see, for example, certain types of female bodies that are said to be sexually attractive and we internalize those attitudes to a large degree. This is why different societies have different standards of beauty and it is why our standards of sexual attractiveness have changed over time. Secondly, our ideas of homosexuality and heterosexuality are socially constructed to some degree. We have a social construction in which we typically say that people are either gay or straight when in reality there are many people whose sexuality cannot be so easily categorized.
In these ways and others, sexuality is socially constructed to a significant degree.