The question on the asexual nature of angels cannot be shown anywhere in the Bible. Most rely on the question from the Sadducees about the seven brothers and one wife. Here is the context in Matthew 22 :
23 The same day the Sadducees, who say there is no resurrection, came to Him and asked Him, 24 saying: “Teacher, Moses said that if a man dies, having no children, his brother shall marry his wife and raise up offspring for his brother. 25 Now there were with us seven brothers. The first died after he had married, and having no offspring, left his wife to his brother. 26 Likewise the second also, and the third, even to the seventh. 27 Last of all the woman died also. 28 Therefore, in the resurrection, whose wife of the seven will she be? For they all had her.”
29 Jesus answered and said to them, “You are mistaken, not knowing the Scriptures nor the power of God. 30 For in the resurrection they neither marry nor are given in marriage, but are like angels of God in heaven. 31 But concerning the resurrection of the dead, have you not read what was spoken to you by God, saying, 32 ‘I am the God of Abraham, the God of Isaac, and the God of Jacob’? God is not the God of the dead, but of the living.” 33 And when the multitudes heard this, they were astonished at His teaching.
The question by the Sadducees was about who she would be married to in heaven, not who she will have sex with. Jesus answers with "are like angels of God in heaven." As in no need for marriage, or asexual so no marriage, or all male so no marriage, or just no marriage as the angels don't marry. Just so we remember, Jesus ascended with the marks of the nails and pierced side on His body. The resurrected body was the same He was born with, just regenerated with God's power. Safe to assume He was still male.
I think Jesus was just trying to convey that, after the resurrection, we will all be interconnected spiritually to each other and, therefore, there would be no need to be married. We will all be married together with Christ.