In short, by God's design in creating us, we are hardwired for the spiritual marriage, for becoming one with God; that's why we are so thrilled at becoming one with each other, as the images of God. As we are images of God, the sexual union is an image of union with God. It is an appetizer of Heaven, a faint image of the Beatific Vision.
Sex is close to religion because the ultimate end and center and point of all true religion is a spiritual marriage to God. That's what we are designed for, that's the only thing that will keep us in unbored ecstasy for ever. That's what the Bible says. The last event in human history, at the end of the Apocalypse, is the marriage between the Lamb and His bride, Christ and His Church, God and man. That's the end, point, purpose, highest value, greatest good, meaning, consummation and perfection of human life.
Why is sex such a thrill? Because it's one of the few things in life that's like that. It's literally an ecstasy – the word means "standing-outside-yourself", self-forgetfulness, self-transcendence, the overcoming of that hidden inner loneliness that every one of us brings into the world with that wonderful and terrible little word "I". The "I" is restless until it becomes a "We". And ultimately, that's because God is a "We".
Read More: Christian anthropology versus the Sexual Revolution ~ CERC