Andy Cohen — I’m NOT Banging Sean Avery … But I’d Like To!

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Andy Cohen is setting the record straight about the rumors he”s gay-sexin” with his friend, NHL star Sean Avery  … telling our sources it just ain”t happening, but he wishes it was.

Cohen was leaving Highline Stages in NYC last night — when we asked about the reports that he”s engaged to the guy who used to date Elisha Cuthbert.

But Cohen blew off the allegations — explaining, “Sean Avery is STRAIGHT. Do you understand that So a gay guy and a straight guy should be able to be friends.”

He continued, “Listen, I”d be happy if Sean and I were bangin … but it”s not [happening].”