It's odd to me so many people think grocery shopping with a friend is weird.
I prefer to go with my husband. But I've shopped with my mom, sister, friends, ANYTHING to avoid going alone.
As for the original question, we don't have a rule about friends of the opposite sex.. Especially if they were friends before I came along. It'd be unfair to ask DH to cut ties with good friends.
That being said, if warning bells go off, we can 'zap' each other, and explain why said situation makes us uncomfortable, and figure out what needs to be done.
Eta: What about bisexuals, or even pansexuals? By the logic of most people in this thread, they wouldn't be allowed to have ANY friends, given that they could be attracted to either sex.