While I don't support the stance, I believe that one of the most convincing (still don't support it though) arguments made by these sorts of people is that it is something you can control. A smoker will always be attracted to cancer sticks, but we can still campaign to get the to quit. If you are religious then you might be trying to save the souls of these people. Even if it should not be illegal (under the same logic of not hurting anyone but themselves), I can see why you would try to persuade homosexuals to either become celibate or go to somewhere which could change their orientation. With enough brainwashing (bit too strong a word, but "therapy" is far too weak) you can most likely learn to stop liking (or start liking) just about anything.
One example of something which you might view as wrong, but which does little harm to anyone but yourself is animated abusive child pornography in Japan, which is still legal. While arguably it is less healthy than homosexuality (both for the culture and the person), it is still not causing physical harm to anyone and is something which should be equally hard to change. There are obviously large differences in terms of the possibility of realisation of these fantasies being illegal and harmful, but I feel it is similar enough to be worth some thought as a parallel.