The whole conversation began when Wendy asked if he's a "purist". Cohen replied, "I am a gold star gay. I've never been with a woman."
"I have been gay since I started... I remember going to the tennis club with my dad," he continued. "I'd be in the locker room and I was like 'Why am I so interested in being in the locker room with my dad?'"
Williams asked if there were ever moments when he was out with his "beautiful friends" if he considered possibly sleeping with a woman.
"I wanted to before I turned 40," Cohen admitted. "I was like I got to lose my virginity to a woman here."