Consider this, is driving a car wrong? No. Is driving a car for an 13-year-old wrong? Yes. It's fun and exciting for the 13-year-old, but it puts his life and other lives in jeopardy.
Is sex, which is fun, between a husband and wife wrong? No. Is sex wrong if it's with someone else's spouse? Yes. It may be fun and exciting, but it often brings tremendous heartache to that person's spouse and the children involved.
A loving God has made his wisdom on life known to us. He says that sin is pleasurable for the moment. There probably isn't any sin which is not at the moment pleasurable. But pleasure can't be our only standard for making decisions. Think how fun it would have been to really severely smack a younger brother or sister at times. Pleasurable for the moment, but fortunately we hold back because pleasure isn't our only guide.
God wants to keep us from horrendous problems which we can bring on ourselves by the stupid decisions we make. He genuinely loves us and wants to protect us from decisions and behavior that will ruin our lives or someone else's life.
Why does God (who created sex) restrict sex to marriage? Is it to spoil people's fun or to insure that a couple enjoys the deepest level of intimacy possible, reserved for only each other? When God gives us guidance his motives are pure and prompted by his love for us.
People get used sexually for momentary fun and excitement, but what if there is something more valuable than momentary pleasure? Like dignity, self-esteem, knowing that you're also treating that other person with greater value? Perhaps God thinks relationships can be more intimate, secure and stronger if they are built on something more substantial than sexual involvement. Whatever God's reasons, his wisdom surpasses ours and he can be trusted. And quite often we later see the value of following him.