During sex, a muscular sphincter closes off the bladder so that urine cannot contaminate precious sexual fluids like semen. Urine that collects in the bladder cannot be felt during sex because of this constriction, so after orgasm, the sphincter muscle that closed off the bladder finally relaxes, and our sensation to urinate returns, and often with a filled bladder. That’s why we usually feel an urge to pee after sex.