One could say the following:
- Someone has a (partially or completely innate) attraction to some set or sets of physical and behavioural characteristics.
- Society can group and define sets of characteristics into gender classifications in different ways, and social norms can influence those characteristics (i.e. gender is socially constructed).
These notions are compatible.
The key point to note is that someone isn't attracted to the concept of a socially-constructed gender in itself, but rather they're attracted to the underlying characteristics which that gender refers to, which needn't be socially constructed.
To some extent, it's the difference between words, and the things the words refer to.
As an analogy, we can come up with different classifications of cars, but that isn't going to suddenly make some small Renault Clio a good offroad vehicle, nor appropriate for large-scale transport. The underlying characteristics are what they are, and which characteristics you'd be looking for in a vehicle for some use case remains largely the same, regardless of how classify cars. Although this analogy probably has a whole range of issues (most significantly that we can build cars in whichever practical-limitations-permitting way we want, but the same can't be said of humans).