It would ruin the fantasy for millions of girls of being able to have a chance with him, which is a huge driving force in their sales. Plus if one member in the group is gay ppl will spread rumors that they all are as well. etc....
Their female fans ARE the ones who start the gay rumors and WANT them to have sex with each other.
but didn't recently a radio presenter get drunk as hell and revealed on twitter that harry and nick grimshaw were together.....and then quirky deleted it...