sexuality is well-do ented in the mammal kingdom, specifically in social mammals. That is, any mammal which spends its life in a social setting with members of their same species, sexuality exists.
Most of the time its a bisexual proclivity, but in apes, it can be the exclusive practice.
I have not heard of sexuality existing in whales (not a social species, really) or dolphins (very social). But in land-based, social mammals, sexuality is literally everywhere. From rats, mice, lemurs, apes and humans, it is not uncommon. I will say, I havent heard of it in elephants, though (a very social mammal). They must have an oral, organized religion preventing it.