The Bush singer - who is now married to No Doubt star Gwen Stefani - had a fling with the gender-bending singer in the 1980s but didn`t admit to the relationship before because of the "glare" of the media.
Gavin said: "I think at the outset there was a sort of fear - that was right at the beginning of Bush, and I didn`t want it to be part of it. It felt like a cheap shot, so I was like, `I`m not getting involved.`
"I`ve never wanted to appear closed about it. It`s not something I`ve talked about really because it`s always been in the glare of a tabloid world. It`s just one of those things - move on.
"When you`re 17, Jesus Christ, I don`t think there`s anything strange about any form of anything - you`re learning about life. It`s a part of growing up. That`s it. No more, no less."
Asked if it was a one-time experimentation, he said: "Yeah. That was it. You have to know what you like, and I know what I like."
Gavin has also spoken candidly about his relationship with his 21-year-old model daughter Daisy Lowe.
The 44-year-old musician admits he feels more like a friend to Daisy - who he only found out was his daughter in 2004 after her mother Pearl Lowe revealed her parentage - because he wasn`t involved in her childhood like his two sons, Kingston, four, and Zuma, two, with Gwen.
Gavin - who had been Daisy`s godfather - added in an interview with Details magazine: "With the boys it`s traditional. I`m all they know and I`m with them all the time. With Daisy, I don`t know her in that context.
"The way I nurture those boys, I never got a chance with Daisy. I love my connection with her, but I don`t have any say in who she is. With the boys it`s my job to correct them and shape them. With Daisy, I just have to be respectful. I suppose it`s more like a friendship."
Marilyn previously claimed he had a five-year relationship withGavin which he agreed to keep secret for the sake of his rock career.
Marilyn - real name Peter Robinson - said: "He was the love of my life. We were together five years, but it felt like 40. He was just becoming successful in America. I agreed to lie against every grain of my being."
The androgynous singer`s close friend Boy George alleged the two men had a relationship in his autobiography `Take It Like A Man`.