Sex does feel good, at least for humans. But we have another word for it, too. We call it "making love".
Having sex with someone you care about is -- a way of expressing those feelings. [ and wistfully, he's always thought it would be even better with someone he loved. Lelouch... ] It's a very intimate thing, touching someone else's body and giving them pleasure.
So -- I'd say that's why humans usually have sex. For the way it feels, and for the closeness.