Warhammer 40K has never been very graphic in terms of sexual scenes. Even so, sexuality is a part of characters and 40K often includes scenes in which one character has lewd feelings for another.
But very rarely with space marines, except in the case of The Emperor’s Children, who follow the chaos god of pleasure. Space marines (most) do not feel the emotion of fear, and many fans have speculated that they do not feel sexual desire either.
This theory has been confirmed in canon in the novel Soul Hunter by Aaron Dembski-Bowden. The prologue of the novel describes the transition of the Night Lord, Talos, into a space marine. One quick scene describes his early stages of genetic alteration as he stood naked in a room with many other initiates.
“He barely notices them. Sexuality is a forgotten concept, alien to his mind, merely one of ten thousand humanities his consciousness has discarded.”
Bowden may not have specifically thought of the asexual orientation, or even been aware of it, or else he likely wouldn’t have chosen to associate the lack of sexual desire with a lack of humanity. But the brief scene confirms what many fans have theorized for years: most space marines are asexual.
The exception, again, would be The Emperor’s Children, which other fans have used as an example to argue that space marines are not asexual. Rule books described the Siege of Terra and The Emperor’s Children committing rape. One counter point to that argument would be that rape is a crime of cruelty and a desire to harm rather than of sexual desire.
But the novel Farseer by William King goes a little more in depth with the hedonism of at least one of The Emperor’s Children. Exiled for killing another member’s “pleasure slaves,” the chaos marine in this novel traveled on board a ship with several different Slaaneshi sex cults who had daily orgies. While the novel doesn’t directly mention the chaos marine himself getting involved, he did make an obscene proposition to an eldar warrior.
Fans take The Emperor’s Children as proof of concept that space marines can be sexual beings, but other fans have pointed out that The Emperor’s Children are not like any other space marines or chaos marines. For one thing, chaos gods often alter the biologies of their worshippers or victims. Tzeentch, The Lord of Change, delights in mutating humans and chaos marines with extra eyes, limbs and psychic abilities. It stands to reason that Slaanesh, The Prince(ss) of Pleasure, would alter the biologies of Slaanesh worshippers to make them feel sexual desire.
In addition to that, The Emperor’s Children have had their genetics manipulated by Fabius Bile, former apothecary of The Emperor’s Children. The specific point of these genetic manipulations where to enhance their feelings of pleasure.
It’s also worth noting that not all space marines respond the same to the genetic engineering. It’s been well documented that the genetic engineering and augmentation process removes the ability for most space marines to feel fear, but some do. In A Thousand Sons: All Is Dust by Gram McNeil, several of the pre-Horus Heresy Thousand Sons are shown to feel fear. This continues in Ahriman: Exile by John French, which shows that many of the chaos space marines faction The Harrowing also feel fear. For a non-corrupted example, Ragnar Blackmane, of The Space Wolves, is shown to feel a sense of unease when entering small spaces in Ragnar’s Claw by William King. Although not at the level of fear, this sense of unease points to a case of claustrophobia in the character.
But the fact that not all space marines turn out the same could also be used to argue that Talos, in Soul Hunter, is a special case. Although the context implies his lack of sexual desire is due to his ascension to an Astartes, it didn’t say that all of the other initiates turned out the same way. But still, considering the lack of even a hint that non-Slaaneshi worshipping space marines feel sexual desire, the evidence seems pretty conclusive.