In fact, he did came out:
Smith calls David the hero of Episode 4. He used his own life experience as a gay man to extrapolate what Madson might have been feeling, telling 'Still Watching':
"
Andrew Cunanan’s cleverness is that he plays on a very deep-seated fear which we’ve always felt as gay men and women: that if somehow you open the door to our private lives, everyone looking in is going to be shocked and appalled, and we’ll be disgraced and exiled. Now, suddenly, by killing Jeffrey in that apartment, that lingering nightmare becomes true—because David Madson knows that if he opens the door to that apartment, the world is going to be shocked and appalled. They’ll think he was involved somehow. It’s going to be very hard for David to extricate himself from the trap that Andrew’s sprung around him."
(American Crime Story : The Assassination of Gianni Versace)
American Crime Story: Gay Shame and the Redemption of David Madson By JOANNA ROBINSON FEBRUARY 8, 2018 Vanity Fair
Out gay actors - IMDb