It seems very improbable that we'd ever encounter alien sapients who were close enough to us physiologically that sexual attraction would be likely, and far more improbable that reproduction would be feasible.
But for the sake of argument, let's say it was so. Let's say the aliens were more or less humanoid, that the genitalia and sexual practices were not entirely incompatible, that there wasn't something about us that totally grossed them out or something about them that totally grossed us out, like smell or something. It's a stretch, but I suppose it is possible.
It can be tricky, marrying someone from another nationality or culture with very different customs, norms, expectations, and so on, just within the human race. I knew a guy who married a Japanese girl from a rather traditional family, and culture clash was such a problem that he said it was the primary reason they got divorced.
With aliens, I'd think it would be at least an order of magnitude worse.
If we could reproduce together, producing half-alien half-human children... there would be a lot of concerns there. Biocompatibility, allergic profiles, genetic virility (whether they'd be sterile), the possibility of incubating new dangerous diseases which neither species had natural immunity to... there would have to be careful study done.
Offhand, I'm not really leaning towards forbidding it by law. I am generally disinclined to tell others what to do with their life, as long as their actions do not impact mine substantially, or threaten to destroy the society I live in. I'd be very cautious about the notion though, and would sincerely hope that my children/grandchildren/etc didn't decide they wanted to marry an alien.