Actually, in my series at least, I wouldn't be surprised if he considered it long before Jet forced the issue. Zuko comments to Toph that it's common for the nobility of the fire nation to have a lover of both sexes, so it would be perfect natural for him to expect to do it as well, eventually.

As far as canon goes, it's actually a little amusing to realize that Zuko doesn't even look twice at a girl until Ba Sing Se. Even June, who Iroh was admiring, Zuko didn't give a second glance.

In the actual show and in my series, it would seem that Zuko is just waiting for anyone else to make the first move. ;)