This entirely depends on who you ask. Most modern scholars will not deny that Alexander had some form of relationship with Hephaestion, the extent and exact nature of that relationship is debated; older scholars such as Tarn 1948 often argued that any suggestion of Alexander's homosexuality had been invented and/or exaggerated in irder to portray Alexanderas "something less than a man", this view has been largely outgrown in the academic commimity but certainly seems to persist in the general public if the popular reviews of Stone's 2004 film are to be believed. Bosworth 2012 (in Worthington) outright calls Hephaestion Alexander's "lifelong friend, lover, and second in command"; Green 1991 is more ambiguous, reffering to Hephaestion as "his (Alexander's) inseperable companion". I assume the film you are referring to is Stone's 2004 film which portrays Hephaestion and Alexander as having "the most powerful emotional bond" (Baynham 2009 in Heckel and Tritle); Stone himself aslo stated that there initially was "some Bagoas stuff that we trimmed" (from the original cut of the film) which was removed to focus on "the more important relationship with Hephaestion".  Multiple scholars also highlight the Homeric parallels between Alexander and Hephaestion, and Achilles and Patroklos (Briant 2018, Green 1991, Ogden 2009, Heckel 1992, O'brien 1992, Wilcken 1932, Arrian). Alexander undoubtedly had a relationship with Alexander, it may have been mostly emotional, but it was there.

As to his relationships with females, he certainly had at least one sone so he did have a sexual relationship with at least one woman. He may well have been bisexual, although, there is some suggestion that he may have been indifferent to women and simply fulfilling his duty to produce an heir: this is shown in how late in his life he eventually produced an heir. O'brien 1992 recalls Alexander's apparant refusal "to take advantage of any tens of thousands of women" and that his "unconventional behaviour in the presence of women" has fuelled the debate over Alexander's sexuality. Carney 2009 (in Heckel and Tritle) suggests that Olympias and Philip II shared a "parental concern, Alexander's sexuality"; Green 1991 highlights Roxanne's pregnancy as "in the last year of his (Alexander's) life, after Hephaestion's death" the implication being that Alexander and Roxanne only shared a sexual relationship after Hephaestion's death. This suggestion is possibly supported by Philip II's exile of many of Alexander's inner circle, with the sole exception of Hephaestion, this is also referenced in Stone's 2004 film.