First of all, don’t feel bad about it. Jesus loves your passion for him and honors your heart. It delights him to love you. Never let your feelings drive you away from him, that is the worst thing you can do. That would break his heart.
I would suggest stepping out of the sexual aspect of the relationship and asking Holy Spirit to show you the Truth. Be honest with Jesus, he knows your heart anyway. However, it is important for you to acknowledge how you feel and what you think. If you were misled he understands and will show you the way out.
If you’re struggling to (or don’t want to) believe that it’s wrong and not a part of a Bridegroom relationship, then tell Jesus. Ask him to show you the Truth and then be open to hearing it. As you continue from that place ask him to forgive anything you have mistakenly gotten into and ask his help as you move into a true relationship of the heart, soul, and Spirit. Then make sure what you do with Jesus is not in a sexual setting or anything that would lead to those feelings. If you find yourself there, then stop and do something else. Show Jesus that you truly seek his Truth and want him, not to satisfy your own flesh. True love is all about the other, it isn’t about wanting to satisfy our physical desires for our own pleasure.