It's a species imperative that isn't "compatible" with modern society in a nubmer of ways therefore we invented all sorts of ingenius methods of preventing pregnancy. Interestingly enough... only the smartest species on the planet engage in sex for non-reproductive purposes. That was always interesting to me as well.
I think it's the opposite. Sex is an act guided by instinct and pleasure principle by the vast majority of animal species (which is not exactly the same as goal being "having fun" but closer than cognitively recognizing that the consequence of this act is that the female will give birth to the offspring after t amount of time passes).
It's just fulfillment of very basic level needs for most of them, and needs to be triggered by correct stimuli such as visual or olfactory cues.
Some species do make the connection between the act of mating feeling good, but I doubt their cognitive abilities are sufficient to handle it as such. Dolphins, bonobos and humans on the other hand, do recognize sex as a means of having fun at the very least.
Whether dolphins, bonobos or some other species cognitively recognize sex as an act connected to reproduction remains unknown. Most likely bonobos (and other apes) are able to make the connection, but whether or not they do or if sex is just/mainly an act of social communication to them... well, until we establish better communications with these species, we can't really know.
And who knows what the hell dolphins think. They are able to kidnap females and gang rape them, so definitely they do make the connection of sex and it feeling good (at least for themselves).
So, actually I would say the only species confirmed to consciously engage in sex for reproduction is human. Species like apes, dolphins, other cetaceans and maybe elephants - possible, but unconfirmed.
