Despite Wen having feelings towards Herobrine, they do not act on it at all. They know, deep down, there's a chance he won't end up reciprocating their own feelings, mostly due to the fact they believe themselves to be unlovable, a result from their own self-esteem issues.
They do not let themselves hope he'd reciprocate these feelings, not even a tiny bit. They would push down the idea of getting together with Herobrine and decide it's for the best they stay as friends. Maybe close friends, even. But never anything romantic. There's just no way it'd get to that point.
Of course, Herobrine, on the other hand, is struggling to deal with these foreign feelings Wen seemed to stir within him—the feeling of wanting to be closer to them than being friends. Wen is the first ever person where he can feel relaxed and comfortable, where he doesn't need to speak words and just enjoy each other's company.
He often seeks them out whenever he visits Steve and Alex's cabin, the cabin Wen is currently staying at. He gets disappointed if they're out on a mining expedition with Steve or visiting a village with Alex. He gets anxious if they don't return to the cabin by the time night falls, even if there's someone with them.
They stir up all these confusing feelings within him, making him act differently whenever they're around. His behavior different compared to when he's hanging out with the other two.
Maybe Wen does have a chance after all...? Only time will tell.