During the last fight in Deadpool (2016), Colossus covered his face with his hand when Angel Dust's top came down showing her ahem "assets".
Why did he cover his face - is he asexual in nature?
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Because Colossus is a proper gentleman, and that's what proper gentlemen do when a woman has a wardrobe malfunction.
His character throughout the entire movie was that of a well-behaved, civilized, mature individual in direct contrast to crass and violent Deadpool. He was also attempting to be a good role model for Negasonic Teenage Warhead. It would have been entirely out of character for him to ogle a woman who found herself topless through no fault of her own.
To directly answer your question, though, no, Colossus is not asexual. In the comics he is in a relationship with Kitty Pryde. They haven't touched on this in the movies yet but there's no indication that his movie character is any different.