I'm married and we have a boy who is 8 months old, we have been together for 14 years.

If you have been together for 14 years, I don't see why he would suddenly decide he wants to find someone else.  Does he adore his 8 month old boy? If so, then why would he want to split up with you?

My husband have started going to the gym 3 times a week, he's getting fit, and starting to have female friends.

I can understand you getting a bit paranoid, because women tend to swarm around men that go the gym, for some reason.  But guys need to keep fit to feel good and to get the best out of life, so it's also a good thing for him.  Some men go to play football with their friends others go the pub with their friends.  Either way, men need to get away from the wife and relax and enjoy life every now and then. 

But you should be getting the chance to get out the house and enjoy what you enjoy doing every now and then as well.  This might be going out with your friends and having a good time or it might be that you go out with your husband and have a good time.  In fact you could even go to the gym with him.  Though he might not be too keen about this because it is his chance to escape the house and you (not saying that maliciously but you need to get away from your partners every now and then, rather than being stuck in each others pockets).

I'm feeling very uncomfortable, and one point I wasn't sure if he was having affair.

You should only get paranoid about a man having an affair if you have good evidence that he has.  Virtually every woman can chew herself that a man is having an affair, when really it is just in her imagination, that imagination can have a bad effect on a woman and on a relationship, so you should only accuse him when you have good reason.  Yes you should be suspicious, but you shouldn't be stopping him from going to the gym, simply because you are getting jealous or suspect he might be having an affair based on your imagination.

We talked about it but he says I'm being silly, and why can't I have female friends. I'm finding it hard has my body shape have changed. I'm back to my size 10, from having a baby, but I don't feel sexy anymore.

Is this because you have had a baby?  Just because you have had a baby, doesn't mean you suddenly become unattractive to a man.  As long as you don't give him good reason to find you unattractive.  If you start going on about feeling unattractive then maybe he will starting seeing you as someone who lacks confidence.  What you should be doing is making an effort to look attractive, don't lose your effort or make yourself feel you are unattractive, because most of the time it is simply not true.

I want to be close to my husband but its very difficult.

You should be going out and having a good time together every now and then, he should be taking you and the baby out sometimes and other times maybe getting a babysitter in, so he can take you out.

I'm not sure if my husband do find me sexy, he says he does but I'm not sure. I want to understand men, or could I say my husband. I just want the confident me.

After 14 years in a relationship men tend to become complacent.  They think she is not going to leave me and he stops making a lot of effort.  Men tend to forget that women like constant romance and loving care, even after they have been together for many years.  A man should be supporting you and making you feel good, and you should be able to speak to him but don't go on too much about negative things, if he says you look good then there's no point in going on about it and trying to get a different answer out of him.  He has answered that question once, so why bother yourself thinking that he should be giving you a different answer.