Maybe it comes from the disco era Studio 54 cache. It was a time and place of glamour, dancing, coke, booze, and lots and lots of sex. People talked about sex happening in many clubs in New York City and major cities around the world, and there were classic (and sometimes classy) places dedicated to exactly that, like Platos Retreat. Maybe it was the gay boys, dancing with abandon, shirtless, bronzed and beautiful for all the world to see, countered with the steamy tight places where rock bands worked their sweat, muscle and brawn into every searing note they played.
Whatever began way back in the day, mixing sex and a club, the idea of couples getting it on in a dance or rock club has never left our culture.
The first answer may be the most in keeping with the alternative culture of club life: Because people are not supposed to. The rebellious nature of rockers and the party crowd makes fucking in public something that seems exciting and, in a word, badass. In a way, it could still be a way of fulfilling some 1950s-style conservatives’ worst fears that rock and pop music leads to raunchy dancing, which leads to sex
and maybe right there on the dance floor for all to see!
Rock and pop music is so much about passion. In the sound and lyrics, one can get caught up in the beat, the pumping bass, sometimes crying guitars and a singer’s wail. Returned or unrequited, crimes of passion, and sometimes passionate political stances; all matters of deep commitment, passion true and real, exist in the sound and words the music expresses.
Your basic exhibitionism could be an obvious draw to a public display of affection in a club. Lucky enough for every 
exhibitionist, there is usually a voyeur not too far away to match up with the action. In certain clubs, a horny couple might even get cheered on by an enthusiastic clientele.
Dirty dancing and club sex is hot for its reminders of the golden era of disco, the feeling of passion, defiant or appreciated exhibitionism, and general rebellion. The pretty lights and throbbing rhythms could really just be the icing on the proverbial cake of the sex that drips for the walls of a club.