First of all Sex has a great reproductive importance, this's the only natural way to spread population though Test-tube baby is possible in the modern science. Something coded into us by the nature/creator that leads to desire about sex.
Secondly, sex gives pleasure, relief from stress, happiness. Sex is also a way to show love for your partner. Sometimes it's just because of "show off".
Though the question seems simple but it has a big depth and still is not answered by Science.