I'm so sorry.  It's a huge shock. You're to be commended that even through the shock you are able to identify the key element here: you are not attracted to women.  
   I know that you are bonded with your boyfriend, and therefore naturally have empathy for him, but right now you have to focus on yourself.  You are not selfish.  In thinking of what you want from life, and from marriage, you are being responsible.  I would hazard a guess that marriage to a man who wants to be a woman, and may transition (in the process making irreversible changes in his body that affect his sexual function and ability to father children), and who has had, and may again wish to have, sex with other men, is not what you had in mind, nor was it what you thought you were getting when you became engaged to your boyfriend.  If you had known these things about your boyfriend when you were first dating, would you have ever agreed to continue seeing him or getting engaged to him?  
    You absolutely need to be able to speak to someone, and as you have agreed to keep your boyfriend's secret--and there is no reason for you to keep this secret and protect his closet--please seek out a counselor/therapist for yourself, and be careful to find a person who will validate your concerns, and who is committed to helping you sort out your feelings rather than pushing you to ignore your doubts and hesitation.  

  (Full disclosure: My now-ex revealed he was trans-identified after 32 years of marriage; I tried very hard to accommodate this new reality into my marriage for three years, but ultimately decided that I could not stay in the marriage.)
  
 

The man you said you'd marry has been fucking men, desiring them and fantasizing about being a woman while you've been totally unaware. He knows you love him and thinks now is the best time to tell you because he doesn't really know you. My bisexual partner told me in an email that he'd been wearing my underwear and said " but I'm sure you knew that "
What the heck! I knew nothing! For months he'd been streets ahead in his 'desired sexual future' and came to the conclusion the time had come to let me in on it all.

There's a reason men don't tell us what they're thinking, and it has nothing to do with us.
It will take a monumental decision by you to put a hold on your wedding to this man who wants to be a woman. I would encourage you to speak to your family. The people who have known you the longest are the people you need as support

Elle

Oh man Elle I can't believe he thought that! What the heck is right!
With the trans thing (and even just cross dressers) they fantasize about things we can't comprehend completely (and probably wouldn't want to anyway). Their reality is bent (like they bent ours) and when they say things like that I flinch. That is the crazy coming through the cracked mask. I noticed this in my trials with a cross dressing gay man. I also noticed an impending resentment for being biological woman. So many pot holes you need to avoid and I think we all just want to scream "it's not worth it!". or just RUN
 

Yes, take his words seriously…he will leave you to be a woman no matter how much he says he still loves you.  Once the idea is in their head, they are compelled to act on it no matter how they try to distract themselves  which I feel my husband used me to hide/cope with the feelings. My husband of 16 years came out to me 5 years ago and we have been trying to make our marriage work these last few years, but I’m so miserable. I never wanted this nor signed up for this life. And we have 3 young kids, I still am in love with him, which makes this so painful I can hardly stand it. We are in the process of divorce now and I’m devastated my kids have to lose their Dad and the family they know.

Undoing a marriage adds a lot more complication than postponing/cancelling a wedding. You need and deserve time to really consider your boundaries and what is best for you. It is not at all selfish. You were just now told information that is pretty major and impacts your life. You were told this information at a time that was about planning your wedding! Granted it was before the wedding which is better than after. It was known that you happen to be heterosexual yet you were not clued in that your soon-to-be-spouse had a long term desire to be considered a woman, which it not compatible with a heterosexual woman’s sexuality.

Please please take the time you need to make decisions that work for you. Not just what is “kind” what is “loyal” but what works for you. You have every right to advocate for yourself and your future. The reality of the situation and the facts you now know may be ok for you and they may not. You deserve time to figure that out.

Also consider your personal boundaries. Should the truths you now know not be the whole story, what then? You very well could have the whole truth now but it can be good to consider what your limits and deal breaker truly are should you be surprised again. What are your personal boundaries? What changes are expected if you in all aspects of your relationship with this? What are you on board with truly and what are you not? You get to decide.

In my personal situation where were several escalations and several things I was not ok with but felt it would be “mean” to say no. So I really suggest thinking what your personal boundaries are and knowing your wants/desires/feelings are not less important.

So sorry you are going through this pain.