It comes down to simple realities. These "furries" had rough childhoods. Could be many things that influence it, but the one truth about it is that part of their brain is stuck in a childlike mentality of makebelieve. Remember when you were young? Perhaps you and your childhood friends (I'm talking young age here... 6-9 years old) would pretend to be animals. Play dress up... etc.
Furries never moved past that. While most of their mind grew up and was able to take on adult personas, there's a piece of them that can't let go of make-believe nonsense. Also, they were most likely parented by the TV and Bab's bunny on Tiny Toons and Gadget from Rescue Rangers were their first real connection to females. Or in Spaniards case "Baloo" from Tail Spin.