Disgaea 5

Four screens each show a character portrait, with a text overlay reading, 'I don't have any interest in Sera. First of all, I have no interest in girls.'
  • Developer: Nippon Ichi Software
  • Publisher: Nippon Ichi Software NIS America
  • Year: 2015
  • Genre: Strategy RPG
  • Platform/s: PlayStation 4

Disgaea 5 features Red Magnus, who discusses with the party that he is interested in men, not women.

Screenshot from here, which features more of the conversation about Red Magnus's sexuality.