Jim is nearly 60 years old, he absolutely did not want to come out of the closet and get fag bashed mercilessly during the 70s, 80s, or 90s. Listen to standup during that time, or even later (including Jim Norton himself), to get an idea of how gays were talked about during that time. Most punchlines or insults were some variation of "You are gay" or "You suck dicks". It was normal for gay dudes to just keep their gayness on the "down low" but when it came out they were made fun of mercilessly and Jim knew it. Being Gay was not something that was celebrated or thought of as good (a better time).
It's unclear if he thinks Tranny chasing is him cleverly circumventing the "gay" label (which some people actually believe) or he's just internalized this shame and guilt about being gay into a humiliation fetish, but either way he's clearly not OK. Worse for him is that all of this has given him what people would consider to be a great life. He has tons of money, meets celebrities, travels the world, wrote books, been on TV, indulges in his fetishes - meaning that he now unshakably thinks that these are all good things he's done.
In essence, there's basically no going back for him. This is what his life is.
I'm sure Jim "hey have you heard I went to AA, I don't really talk about it though" appreciates this immensely.
