Okay, where was I? Oh, yes, sex. A couple of things first. One: If everybody does it, it's natural, no matter what everyone might say or think. Let's take a certain sexual behavior (any one, it doesn't matter). Now, if we go to societies all over the world, from the jungles of Manhattan to the jungles of Borneo, and we find people engaging in that practice, it's a natural, human, genetically determined behavior. Remember, though, that "genetically determined" means only that the tendency to the behavior is in our genes. Two: We need to differentiate between sex as evil and sex as secret behavior. The "sex is evil" concept probably comes from the late middle ages when pandemics of virulent syphilis swept Europe (the great pox, to differentiate it from the small pox).
Are we finally there? Okay, to speculate wildly on why we keep sex secret and out of the streets, other than that it frightens the horses, let's start with our closest kin, the chimps. Now, chimps are promiscuous, mating wherever, whenever, and with whomever they can. But the female chimps only ovulate when they are mating with someone they consider a suitable partner. Remember that the drives are generally the same but specifically different in males and females (in primates anyway). Both desire to leave copies of themselves. The male tends to do it by impregnating as many females as he can, while the females, who are limited to one or two at a time and hampered with the kid to boot, are more subtle. The need not only to have the child, but to have assistance during the crucial period when they are forced to care for it.
So, how does this apply to humans? Well, we aren't chimps, so our behavior patterns won't be the same. But the goals are the same. Women need A) the highest quality sperm available and B) help raising the result of the mating. Now, it doesn't matter if the person who helps raise the baby is the same one who donated the sperm. What matters is that the male thinks he is the papa. If the male knows that the female is mating with other guys, he's less likely to stick around to change the diapers. Hence the secrecy.
Sounds kinda calculating, doesn't it? Of course it is. But the stakes are the highest there are. There is no success in life greater than reproducing yourself.