There are at least two ways to construe this question.
First, it might be a question about the means by which sexuality is socially constructed. If this is the case, sexuality is socially constructed mainly through socialization. We are socialized in many ways with regard to sexuality. We are socialized by our families. We watch our parents and our older siblings and learn about how people are supposed to behave with regard to sex. We listen to our peers at school and learn what people of our age and sex are supposed to think about sexual issues. We watch media and we see many messages about sexuality. All of these socially construct many of our attitudes about sex.
Second, this might be a question about which aspects of sexuality are socially constructed. Here, the answer is that many aspects of sexuality are socially constructed. For example, the proper outlets for our sexuality are very much socially constructed. Our attitudes about what kinds of sexual activities are proper, with whom we can engage in such activities, and when we can engage in them are all socially constructed. Our society also tells us how much we should be thinking about sex and the ways in which it is appropriate to display our sexuality. In essence, almost everything about our sexuality, other than the basic desire for sex, is socially constructed.