Yeah, no, they were sort of implying that relationship. Pegg and Frost always say in interviews that if one of them was a girl they would undoubtedly be married by now, because they're such close friends, and their characters very often have a bit of ambiguity in their relationship. In Spaced, for example, it was hinted at that Frost's character might be a little in love with Pegg's, as in this film; the buddy cop genre just gave them an excuse!

I'll just... be quiet, now.