you mean coming. but yes that is very gay. or, idiotic. as cool as he is, arnold has some issues.
Arnold indicated (on the 25th-Anniversary edition of
Pumping Iron) that he made that statement up (i.e. the pump being as exciting to him as having sex with a woman and coming) to get attention and to shock people. To him, however, you can't compare one with the other. But, he felt people might try working out to see if it's really true.
That's part of the "docu-drama" aspect of the movie. He said that to get a rise (no pun intended) out of the audience, just as he did, regarding the missing his father's funeral to prepare for a contest (Arnold said that he got that from a bodybuilder in France; his dad actually died three months after Arnold competed in a show).
A saying that I find really dumb is the having to "knock the champion out" mess, with regards to dethroning an incumbent Mr. Olympia.