WARNING: The following contains spoilers for Season 1, Episode 5 of My Next Life as a Villainess: All Routes Lead to Doom!, now streaming on Crunchyroll.
In Episode 5 of My Next Life as a Villainess, "I Visited the Heroine's Parent's House," during a moment where all of the girls are spending time together on a balcony at school, Katarina asks Fortune Lover's original heroine, Mary Campbell, who she likes in an attempt to keep tabs on her relationships with the conquerable men in the game that makes up the world of the anime. Maria shyly and sweetly responds that she is "deeply fond" of Katarina.
Mary Hunt and Sophia Ascart rush to admit their own feelings, with Mary going so far as to say that she feels fonder of Katarina than anyone else. Admitting that you like someone more than anyone else is usually a clearly romantic thing to do. And yet, even with three girls telling her that they care more for her than anyone else they know, it appears like Katarina simply assumes that they all misunderstood her question and they are talking about friendship.
There are a few reasons why it is possible that Katarina didn't misunderstand Maria's confession and she is simply choosing to seem dense instead. Once she regained her memories as a child and realized that she was reincarnated as the villain of Fortune Lover, she realized that the entire purpose of the game is to conquer all of the love interests. She made a plan to avoid her "doom" ending by turning all of her would-be enemies into friends and has kept the fact that winning them over is the key to her survival in the forefront of her mind for essentially her entire life as Katarina Claes.
Because she spends most of her time thinking about romance in relation to all of the people in her life, it seems impossible that she wouldn't scrutinize every romantic comment or compliment she receives for a romantic element. Maria revealing that she is "deeply fond" of her should have at least made her stop and consider the possibility of the comment being more than a polite or evasive answer, especially in light of the homosexual overtones sprinkled throughout the series.
Katarina loves romance novels, and most of the ones that she reads are revealed to have a lesbian plot. From Episode 2 onwards, there is usually a novel mentioned that is about a same-sex couple or a bisexual character like the Devilish Count. In Episode 6, Sophia and Katarina go book shopping and pick up a novel with a storyline where two princes fall in love, commenting on how the storyline seems deep. It seems that in this world, homoeroticism is not as taboo as it historically has been in ours.
The combination of her knowledge of the game and the strong possibility of a same-sex couple happening within their friend-group means that Maria's admission of her feelings should have at least made Katarina wonder if she meant it as more than a friendly compliment.
It may be that because of her knowledge of the game, though, that Katarina can't see the forest for the trees. In the original timeline, Maria and Katarina are enemies. She has spent so much time and effort trying to build a friendship with Maria that her mind may just be fixated on that type of relationship where the girls are concerned. Her unwillingness to admit that she is stealing hearts left, right and center might just be the true cause of her dismissal of Maria's affection.