"Why do many gay / lesbians think they were born that way (not straight)?"
A lot of people feel that sexual orientation is part of our natural biological make-up, formed by factors that are in place long before we are born. Scientists have been searching for a gay gene and exploring the role that hormones might play in determining sexual orientation. And while no gay gene has been found, there is more and more evidence pointing to biological causes.
While for some people it takes a while to figure out sexual orientation, a lot of gay men, lesbians, and bisexuals have known they weren't straight (or heterosexual) since earliest childhood, saying, they always felt a little different than their peers, and the idea that their families or environment made them gay, doesn't make a lot of sense..
It is also important to consider why we don't ask more straight people if they think they were born that way. A big reason we don't, is because most people only think that sexual orientation is something you choose, or in our control, when that orientation isn't straight.
The bottom line is, whatever the cause of sexual orientation, you can't "turn" someone gay and you can't change your sexual orientation. We are who we are, and hopefully, that is something we will be able to feel comfortable with and appreciate.