Let's clear up some things here:

1. This is a big question. I am an anthropology major, I've heard many things about many cultures, and most cultures do not like people having sex in public. I doubt that it would be possible to limit the discussion to just 'our society'--it may be best explained through basic human nature.

2. In case you haven't figured it out from #1, this is not a European invention. People all over the world have this same taboo.

3. But, the taboo is expressed in different ways. For example, in many cultures people used to (and still do) live in small houses. For example, everybody in one room. Sex was carried out with-in arms reach of everyone else in the household. This was not loud sex, and the other people (most often, the children) weren't interested in (or at least politely ignored) what was going on. Sex out in the middle of the village, however, was right out.

4. Evolution may have had something to do with the forming of this taboo, but probably not because you are more "exposed to attack". When you are exposed to danger, your best bet for survival is to be surrounded by friends, not off by yourself. If exposure to danger was a large factor, we would more likely have a taboo against having sex without other people around.

5. This is a much wider taboo than 'no masturbating' or 'no sex out of wedlock'. Those are taboos existing only in a few cultures (well, hundreds of cultures, actually. But not all that many, overall). So don't blindly compare them.

I'm going to cut it out with numbering the paragraphs here, because I'm starting on the pure speculation bit here.

Probably the reason humans don't have sex in public, and feel that it is wrong for other people to have sex in public, is because, as has already been stated, sex is a private thing. For humans sex is social, and takes place on the dyadic level.