It's kind of the best of times and the worst of times. I'm in what someone described as a bromance with a coworker. I'm cracking open the closet door, though not at work, and as far as I know, he isn't gay, or at least isn't open. But we have a good rapport, and when I say that, it's closer than most "regular" coworkers at my place of work. One of our mutual coworkers watching us interact was the person who commented on not wanting to "intrude on the bromance." I laughed it off at the time, but the fact of the matter is, I really like this person. Not in an infatuated way (I don't think), but in an emotionally close way. I feel like I "get" him, and I feel like he understands where I'm coming from, even in a non-LGBT-related way. I know that it's foolish to try to pursue a sexual or romantic relationship with a coworker, especially if that person isn't gay or isn't out. I get it. But it's kind of nice sometimes to just soak in the feeling.
Then there's nothing you can do but soak in the feeling, really. It's natural for us to be attracted to people we find an emotional bond with. Something shinier and more compatible will come along for you eventually.
Yeah, just enjoy it. There are really many different types of friendships - some much closer than others. If you can take it for what it is, it can be lovely to have that sort of emotionally or even physically affectionate relationship with someone. It only gets difficult if one party is trying to turn it into something more than the other wants.