So, seriously, Katou is not gay for Setsuna.
...
PFFFFHAHAHAHAHAHAHA oh man that was a good one. No, no, okay. I just wish I could sum up his feelings that simply. Unfortunately, I also can't just say "Katou is gay for Setsuna" because it's more complicated than that, and being gay for Setsuna/Alexiel is a requirement for all Angel Sanctuary characters (this is only a very slight exaggeration).
First, some background--that is, what Katou was like before he died. His family life was special. Basically, due to a number of factors, not the least being that his father hated him and regularly beat him, he grew up convinced that his very existence was worthless and the whole world was out to get him. He turned to drugs sometime (from appearances) in his early teens, around the time he moved out of his parents' house. Basically, through high school, he supported himself by dealing and probably petty theft. The only person who ever bothered to give a damn about him was Kira, who I'm not going to go into right now because he's an entire essay to himself. Then one day Katou bought from someone other than his regular dealer, and ended up being made into a golem by Rociel--meaning he was really nothing more than a puppet for a crazy angel bent on messing up Setsuna's life. Or at least that's what it should've meant. Katou, due to his experience with mind-altering substances, was able to retain part of himself. And that part was absolutely terrified of what was going on.
After, oh, a day of this, Alexiel-as-Setsuna kills Katou. As he lies on the ground dying, he tells Alexiel that he's afraid to die. Keep this in mind. It'll be important later. Alexiel opens up the path to Hades for him, and that's the last we see of Katou until Setsuna makes a trip to Hades himself. Because, lo and behold, the guide through the underworld that Setsuna is assigned is Katou. We learn that despite having the same best friend, they were really only vaguely aware one another's existence in life. Setsuna doesn't even remember Katou's name.
Skipping ahead, the two of them bond over mutually being utter dorks during their journey, to the point where Katou sacrifices himself to keep Setsuna from being killed. He claims that it wasn't for Setsuna--really, it was for himself because now Setsuna won't ever forget him again. Which is probably mostly true at this point. But Setsuna isn't content to just remember Katou. He saves his soul, and manages to basically bring him back to "life" by going into his subconscious. And here's where things get tricky.
Setsuna learns everything there is to know about Katou during that process. He sees his past--sees the horrible things done to him, and the horrible things he's done to others.
And he reacts differently to this than anyone else Katou has ever known. How does this affect Katou? I don't even know if I can begin to say how important that is to him. He says later in the story arc that Setsuna saved him. We later find out that right after Katou woke up from that experience, he was given a choice: he could go back into the cycle of reincarnation, or he could serve as Setsuna's protector.
He didn't even hesitate before choosing the latter. And he doesn't take this duty lightly, either. When a rebel angel they're working with questions Setsuna's way of looking at things--something Katou himself does on a regular basis--he gets quite possibly the angriest we ever see him outside of the scenes with Lucifer. He dies twice more, both times for Setsuna. Even at the end, when his very being is falling apart at the seams (and despite what he tries to tell the others), he remembers Setsuna.
So, what is Setsuna to Katou? Setsuna is basically his entire reason for existing. Setsuna killed him, Setsuna saved him, Setsuna brought him back to life. And now he lives for Setsuna's sake. He'd never admit to this in a million years, but his current world basically revolves around Setsuna. He's connected to him through astral energy, thanks to the fact that Setsuna used one of the feathers from his wings to bring Katou back, so it's not just on an emotional level, either.
But does this mean that he, y'know, likes Setsuna like that? Well, you could argue that both ways. Personally, looking at all this information, his behavior, and Yuki Kaori's tendency to have no such thing as a completely straight character, I would say that yes, Katou is more than a little bit in love with Setsuna.
He'll never admit it, though.