I think it boils down to an idea that sex is something that women are supposed to trade for a relationship, and men are supposed to trade a relationship for sex.
Traditionally, women are "supposed" (which is dumb) to value relationships over sex, and men the opposite (which is also dumb). So when a woman "gives" sex away without getting a relationship, she's perceived as having failed - either she wasn't "worthy" of a relationship, or she didn't have a strong enough sense of her own worth to hold out on sex until there was a relationship.
I think you see something similar in the whole "friend-zone" phenomenon. Men who "settle" for a sex-free relationship with a woman (ie, a friendship) are seen as losers or wimps - either they couldn't get the girl to have sex with them or were too gutless to try. Very similar to the way women who have sex without a relationship are seen.
I still think it goes back to natural urges that have been around since we were simpler animals.