It's asking if you ever fantasized or masturbated to the thought of your friends.

[ There's a small wry wince when he says that out loud. There's friends with benefits, of which he had plenty, but he also had friends who he loves but never would have imagined ever getting intimate with. The very idea of him thinking of them in that manner is enough to make him feel embarrassed. ]

It depends on the friends, for me. I have some that I respect too much to even think of in that way. But some... Well, you could say we like to make our fantasies come true.