Any physical problem arising from sex that persists for more than a few weeks is worth a visit to your health care provider. He or she can rule out medical or medication-related causes and offer advice on tackling the issue. On that note, certain problems require attention right away. For example, if sex suddenly becomes painful when it wasn't before. It may an indication of an infection or a different medical condition that requires immediate attention. Any unusual reaction to sexual activity, such as a headache, brief chest pain, or pain elsewhere in the body, also warrants a visit to the doctor’s.

Reference: http://www.webmd.com/sexual-conditions/guide/sexual-conditions-overview-facts/