Lord Krishna was never of the view that he was a mere body or mind, but he was always in the universalcounciousness state. This is the state of GOD or ALLAH or Heavenly Father or Paramatma etc.
In this state, there is no individuality at all. GOD comes to the world in Human form, to teach his kids, which is the humanity, a lesson that is needed to correct the course of the direction in which Humanity is going in.
In case of Lord Krishna, if he has thousands of Wifes, this doesnot mean, those wives are actually in physical relation with Lord Krishna or the UniversalCounciousness or Paramatma. But, we should see it as a relation of the Individual with the GOD or ALL PERVADING DIVINITY OR GOD OR universal counciousness.
It depends on how better you understand the relation between humans, in order to understand the relation between the individual and GOD. If you see love as only a mere physical relation, then, you will see the love of devotees to the GOD as only mere physical, but if you see the love as being something that is beyond the material and mind level business, that we usually encounter, then you will see the Love of an individual towards GOD or Lord Krishna or Allah or Paramatma as being the ultimate purpose of ALL THE RELIGIONS.