Sometimes there is a little bit of spotting during intercourse the first time, usually because the hymen (a thin piece of tissue that covers part of the vaginal opening) tears. Otherwise, unless you are having your period, bleeding during or shortly after sex is considered something to see your healthcare provider about. I know that might not be what you want to do, but it is important to find out why if it keeps happening! Be sure to notice if there is any pain, when the bleeding happens, how long it lasts, and what it looks like (color, clots).
Also, remember to always use a condom whenever you have sex! And, if you are feeling shy about having sex, then remember you get to make the choice not to do so until you are ready!
Also, are you absolutely sure you bled because of sex? As Sandy below mentions, sporting activities can break the hymen too...did you have sex, and then maybe do something active, and then notice blood on your underwear?" - fairytwinkle24
Do not include personal information within comments including name, age, location.