We both have opposite-sex friends, but our closest friends happen to be of the same sex. Not on purpose - that's just the way it is right now. I don't think either of us would have a problem with the other having a close opposite-sex friend...as long as the friend didn't think he/she was going to get more than friendship. For example, I'd be uncomfortable with DH having a female friend that gets a little too 'handsy,' and I think he'd feel the same way about me. As long as the boundaries are clear, it's not a problem.
But right now, each of our closest friends happen to be of the same sex. We each have plenty of opposite-sex friends that we see in groups, and we're close with the significant others' of our same-sex friends...but our closest friends just happen to be of the same sex right now.