Andy Cohen -- I'm NOT Banging Sean Avery ... But I'd Like To!

Andy Cohen is setting the record straight about the rumors he's gay-sexin' with his friend, NHL star Sean Avery ... telling TMZ it just ain't happening, but he wishes it was.

Cohen was leaving Highline Stages in NYC last night -- when we asked about the reports that he's engaged to the guy who used to date Elisha Cuthbert.

But Cohen blew off the allegations -- explaining, "Sean Avery is STRAIGHT. Do you understand that? So a gay guy and a straight guy should be able to be friends."

He continued, "Listen, I'd be happy if Sean and I were bangin' ... but it's not [happening]."