Here are a few examples. All are open to debate as to whether it answers your question.
Zoophilia in humans
When asking of example of a "species" that does something, it is easy to forget about the diversity of behaviours among individuals of that species. It raises the question of how frequent must the behaviour be in that species to accept that the species is representative of this specific behaviour. Many might be tempted to disregard humans as examples thinking that zoophilia (sexual fixation of a human on non-human animals) is very rare but the reality appears quite different.
The Kinsey reports (1953) estimated that 8% of men and 3.6% for women had sexual interaction with animals at some point in their lives. More recent studies tend to find somewhat similar results (of the order of a few percents). These numbers seem to go way higher for people living near farms. Although these numbers seem debated, the Kinsey reports (1953) estimated that 40–50% of people living near farms have had sexual interaction with animals at some point in their lives.
Given the prevalence of zoophilia, I would argue that humans could be considered an example of a species where (some) individuals are sexually attracted to individuals of another species.
Many animals have sex with about anything
In my life I have seen many dogs, rabbits and bulls attempt to have sex with inanimate objects. If a dog can be sexually aroused by a pillow (poor pillow), then I am pretty sure it can be sexually aroused by individual of another species.
Here is a picture of a moose trying to mate with a statue of a bison
Note btw that I am talking here about animal species that have a very high cognition, so below is a funny example with a beetle.
A tragic love story
In Australia, a species of Buprestidae (family of beetles) called Julodimorpha bakewelli has gone through an important decrease in population size. The blame is on people throwing their empty bottles of beers on the side of the road. Why? Males are attracted by the brown shiny color of the females and it turns out that many glass beer bottles have this same exact color. Hence, males started to spend all their time mating with beer bottles rather than with females causing a decrease in the species population size.
Sure a beer bottle in not another species but it shows how individuals of a species can be more aroused by something else than individuals of its own species (and the example is funny; the study won the IgNobel prize in 2011).
The Amazon molly is a fish species in which there is no males. All Amazon mollies are females. However, the amazon mollies need sperm to reproduce. How is it possible?
The females have to seek for sperm in a sister species in order to activate the development of the eggs. They mate with males of this sister species but don't use the genetic material of the father from the sister species (otherwise they would not be two different species). The amazon mollies are therefore only sexually aroused by individuals of another species. See Kokko et al. (2008).