Some people still value sex as a means of personal intimacy between two people.
Granted, you can also have sex for just physical pleasure - and many do - but that doesn't mean that you necessarily have to be accepting of letting another person into the mix. There are boundaries.
Tangent: Statistically, most people in relationships break up after a 3+-person session of intercourse. Ironically (because of the machismo rhetoric that exists) most men feel incompetent after a bout - typically because they finish early or can't please both women. Unless you are the best lover ever and have thought about the situation and planned the entire thing out, it's likely that you will not be able to please both partners equally; usually someone ends up favoring one person over another - and THAT leads to heavy awkwardness. Honestly it is quite a mess.