He probably didn’t reciprocate Dumbledore’s feelings.
In another interview after saying Dumbledore was gay, JKR seems to state that Grindelwald didn't feel the same way, but would have likely used Dumbledore's feelings to manipulate him.
JKR: I think he was a user and a narcissist and I think someone like that would use it, would use the infatuation. I don't think that he would reciprocate in that way, although he would be as dazzled by Dumbledore as Dumbledore was by him, because he would see in Dumbledore, 'My God, I never knew there was someone as brilliant as me, as talented as me, as powerful as me. Together, we are unstoppable!' So I think he would take anything from Dumbledore to have him on his side.
- Harry, a History
If this interview does exist, then he would have found Dumbledore very interesting, but not reciprocated his romantic feelings.
However, his sexuality is unknown - he could have been anything.
Not reciprocating Dumbledore’s feelings doesn’t confirm that Grindelwald wasn’t gay. It just proves that he wasn’t into Dumbledore specifically. With the information we have, it’s not clear whether Grindelwald was gay, straight, or asexual and not interested in anyone (like the Dark Lord).
David Yates, though, implies it was a mutual attraction.
When David Yates was asked about what the relationship between Dumbledore and Grindelwald will be in the upcoming Fantastic Beasts movie, he seemed to imply it was a more mutual feeling.
“Not explicitly,” Yates replied when asked if the film makes it clear that Dumbledore is gay. “But I think all the fans are aware of that. He had a very intense relationship with Grindelwald when they were young men. They fell in love with each other’s ideas, and ideology and each other.”
EW interview with David Yates
It’s not clear yet what will be shown in the movies, but that seems to imply more than a one-sided relationship.
Johnny Depp won’t explicitly say, but thinks he’s jealous of Newt.
Johnny Depp, the actor who plays Grindelwald, was asked in an interview what his personal take is on Grindelwald’s sexuality, and though he is a bit evasive, does say he thinks Grindelwald would be jealous of Newt since he’d see Newt as Dumbledore’s protégé.
There’s been lots of focus on Dumbledore’s sexuality and how much should be in the film, but very little speculating about Grindlewald. What’s your take on your character’s sexuality and how much of that is apparent in the portrayal?
I think it should be left up to the audience to feel it first, and when the time comes … It makes the situation with Dumbledore all the more intense. I think there’s a jealousy with Scamander. He sees Scamander as Dumbledore’s protégé — his boy, in a way. That in itself is enough for Grindelwald to want to take Scamander down in a way that is ferocious and eternal.
- Johnny Depp breaks silence on Fantastic Beasts sequel role (Entertainment Weekly)
However, he doesn’t actually say what Grindelwald’s sexuality is, or if he was indeed attracted to Dumbledore in that way, though saying he was jealous does somewhat imply it, it’s not confirmed.