The loss of estrogen that comes with menopause results in thinning of urogenital tissues, which include the vagina, vulva, and urethra. Because those tissues are thinner, they can be more fragile and susceptible to "trauma." We don't think of sex as "traumatic," but the activity can cause minor tissue damage.
Sex can also introduce bacteria to the bladder via the urethra, which can lead to bladder infections. And either an infection or the inflammation of damaged tissue can lead to the symptom of urinary urgency.
Using a lubricant during intimacy will minimize the "trauma" to tissues. Emptying the bladder soon after sex may flush out bacteria before they can proliferate and become an infection. (Women with frequent urinary tract infections linked to sex sometimes find it helpful to take a dose of oral antibiotic with sexual activity.) And a therapy like localized estrogen or Osphena may help by restoring proper pH and increasing cell layers.