The Christian answer, as is my understanding, anyway:
Because God set it up that sex shouldn’t happen without the covenant of marriage.
Sex is a sign of that covenant, and only those that have entered into that covenant get to do it. All sex does is express outwardly the inward joining that has taken place – the couple has been spiritually united. Instead of God looking at me and seeing just Abbie, he sees Abbie and Mr. Carmichael, because to Him there’s no difference. We’re one.
The good news is that once the covenant is made, the happy couple can do whatever they want. All manner of freakiness is ok with God (as long as it’s just the two of you and you both agree), the book says the marriage bed cannot be made unclean.
There’s more going on than just the physical when people have sex – it’s creating spiritual bonds, too. Non-married couples are not spiritually united in God’s eyes, yet they are doing something that expresses that a covenant has taken place, even if it hasn’t. (What if they’re not Christians, you’re probably wondering. Well, assume for a minute that Jesus is who He says – that would mean that even though non-Christians aren’t in covenant with Him, they are still subject to the spiritual laws that God has established. Sure, they can choose not to acknowledge it, but they’re still subject to them. I can choose not to acknowledge that gravity exists, but if I drop an egg on the kitchen floor, I’m still going to have a mess.)
Sex is also a “picture,” if you will, of Christ and the Church. The Church is the bride, which Christ died for – just like husbands are supposed to willingly lay down their life for their wife if need be. Covenants are always made in blood in the Bible, right? Well, what (normally, but not always) happens when a woman loses her virginity? She bleeds. I’m getting in waaaaaaaay over my head because Biblical symbolism isn’t my forte, but my point is that just as it took blood to create the covenant because Jesus and the believer, it (figuratively speaking) takes blood to enter into the marriage covenant. I am NOT saying that there is no covenant if the wife isn’t a virgin when she gets married, or if she doesn’t bleed. I’m speaking figuratively here.
The womb is a symbol of the place where Jesus went after He was crucified – the holiest of holies. (The holiest of holies was, in the Old Testament, where God was when the Israelites build the tabernacle. NOBODY went in there, and it was separated by a veil. If you went in, you’d die. Now, because Jesus created a blood covenant, we get to go in too, and we don’t die. And we don’t need a tent to do it, either.)
The womb is where life is created. Just as we cannot approach God without Jesus there ought not to be approaching the womb without a covenant already in place.
It would be like an atheist getting baptized, if that makes sense. Baptism is something we do to show the world that we’ve given our heart to Jesus – it means something because something else (belief) has already taken place.
If the first part hasn’t taken place, you are not privileged to do the second part.
Now hopefully FriarTed will get in here and better explain what I’ve bungled and whatever I’ve left out.