The Valar can marry, which implies romantic love. (Although it seems like they don't have children the normal way.) So I think the Maiar experience romantic love too. Gandalf doesn't seem like the sort who would talk about it, especially if his partner had been dead for centuries.

But with Tolkien, you never know - apparently elves and humans have only gotten together twice in all the history of the world despite looking like each other and frequently being platonic friends.

Edit: I forgot about Luthien's mom. The Maiar can even have children.