Why would it be important to come out to the guy, who might be your friend but, who is making all those unwelcome remarks?
Friends or no friends, he does, whatever he does in his bedroom, rite? Why wouldn't you be doing the same? It is not like you need his approval, permission or anything.
In more ways than one, the ever-so-popular coming out is often completely meaningless.
The guys, who need to know, because you mess around with them, know anyway.
The guys, who you do not mess around with, may be told, but they do not know, what to do with that knowledge.
(The popular argument that you'll find more partners, because everyone knows, you are gay, is doubtful in the very least, too. You do not go with people, because they are gay. You want to be with them because you find them attractive.)
Coming out to someone, if purely informative is problematic in the very least.
Why would they really care, unless they are involved themselves?
And why would you really care, unless you are seeking their approval?
Think it over. Just because there is this overwhelming propaganda requiring that people 'come out', this still does not mean that the whole thing makes really any sense at all...
SC