I would tell said family member that respect for their lifestyle goes hand in hand with respect for yours; as you dont appreciate hearing details-they need not share.
That said, it never hurts to take some time to consider why you are offended by consenting adults happily interacting with consenting adults. So long as they respectfully don't attempt to persuade you into participation of activities that you don't find an interest in-why waste time and effort being offended?
My friend and ex boyfriend used to frequently say;
"your mind is only as open as the smallest thing you allow to offend it."
Combined with the knowledge that we can only learn via an open mind, I find that quote very inspiring.
"Love As Thou Wilt"