I think that line was quite deliberately written so you could interpret it two ways.
He *could* be referring to gays, but then why would that one incident cause Don to make a sweeping, generalized statement like that? Not in his character.
On the other hand, it could also refer to the people in general around him at work who all seem to be messing him around endlessly (Roger, Peggy, Connie, the young creatives, the issue over the contract). The whole ep and some of the previous ones show a build up of frustration he has with people at the agency.
When I think about it, I go for the latter, as I don't see Don making generalizations like that about a whole group, based on one incident he's just heard about.