Alfred Kinsey, biologist, pioneering sex researcher and founder of the Institute for Sex Research at Indiana University*, once wrote that "a marked quiescence of the total body is the most widely recognized outcome of orgasm," more noticeably among males. Why is that?
Let's get the obvious reasons out of the way first. Sex often, though not always, happens at night in a bed and is physically exhausting. If you're tired to begin with, all that physical exertion only adds to it, and since you're already in bed, it's only natural to be sleepy. Compounding this is the fact that sex dominates your attention when you're having it (and sometimes when you're not), so you don't pay attention to your breathing and wind up breathing shallowly and holding your breath pretty often. These aren't really the sorts of things you want to do during vigorous exercise, as they lead to oxygen deprivation and—all together now—sleepiness.
There's also the biochemistry of the orgasm to consider.
After sex, a man's brain releases a slew of hormones and neurotransmitters. Some of them, like prolactin, oxytocin and vasopressin, have been linked to sleep as well as sex. Prolactin plays a role in sexual satisfaction by counteracting the effects of dopamine** (which is responsible for sexual arousal). It's also been shown that the artificial delaying of an REM sleep period disrupts the rhythm of prolactin release, and that REM sleep is reduced in mice with prolactin deficiencies. Oxytocin and vasopressin have also both been implicated in the body's regulation of sleep cycles. While none of these chemicals are fully understood and their links to sleep aren't concrete, the circumstantial evidence suggests that they may play a part in pulling you off to a post-coital snooze.
What About the Ladies?
The phenomena of men falling asleep soon after sex is a little more well established than women doing the same—at least in that people notice it enough to make jokes about it on sitcoms, and write in to mental_floss asking about it. While I haven't been able to find any science-backed evidence that post-sex sleepiness definitively affects men more than women, there are a few hypotheses floating around as to why it seems that way. In their 2006 book Why Do Men Fall Asleep After Sex?, Mark Leyner and Billy Goldberg, M.D. suggest that exertion during sex depletes the muscles of energy-producing glycogen. Because men usually have more muscle mass, they get more tired. And it's entirely possible that women get just as sleepy, just as fast as men do after orgasm, but women simply have orgasms during sex less often than men do.
*Kinsey left his mark on a different field earlier in his career: entomology. He did his doctoral thesis on gall wasps and researched and published papers about them at the American Museum of Natural History in New York. Of the 18 million+ insects in the museum's collections, about 5 million are gall wasps that Kinsey collected. In return for his collection, Kinsey received $400 and a lifetime membership to the Museum.
**The hormone may also mediate the "sexual refractory period," or the recovery phase after an orgasm during which a man cannot have additional orgasms or achieve an erection.