Eeehh...
I'm just thinking about my relationship with my first cousins and how weird it'd be to sleep with one of them. Of course, your relationship with your first cousin must be very different than mine if you're actually considering sleeping with one of them, so I don't really know what to say.
Go for it, I guess, if you don't think it'd be weird. #YOLO
I think the main problem that people have with cousin-cousin relationships is the fear of pregnancy and the ensuing birth defect/nephew-son/niece-daughter drama/dynamic, but that isn't really going to be a problem for you since I'm assuming your cousin is also male. And now that I think about it, that's actually one of the best things about being gay/bi - you don't have to worry about any the negative aspects of incest. You can just follow your heart wherever it leads.