One of my closest friends is a female and neither of us have ever had "feelings" for the other. Funnily, a large part of this for me is that she has a good three inches on me. This sounds stupid but it keeps me from being sexually attracted to her and wanting something more. She's pretty and were she my height or shorter I probably would have tried to become something else to her. In summary I think the answer to the question bears largely on sexual attraction. I don't think you can be close friends in the way the OP described if one person is attracted to the other.