To answer your question in one sentence - Yes it is possible to make friends in a sauna but its not people's first reason for going. It does not happen every day but it may happen sometimes.
It's hard to make friends in a gay place. The trouble is that guys that you speak to do not think that you are trying to just make friends. But forget your inhibitions and try. Gay venues are going out of fashion. Grindr and other gay apps on smartphones are making them less necessary. But that does not answer your question. You can say on Grindr - just trying to make a few friends - would like mates to go out to have a drink with etc so that might work too.
Just because you meet another gay guy does not mean that you are trying to bed him.