Well, wanting time to yourself and respect for your personal space is natural and what every person should have. If they want you to always be a part of their sexual activities, that is unneeded pressure. You shouldn't feel obligated or like you're disappointing them if you don't want that. It's your choice to or not, geez. They shouldn't pout about it, wtf.
It sounds like renegotiations are in order, where you ask for boundaries that work better and give you space. In addition to getting another squeeze for yourself. Does she live with you, too, or can't they go to her place once in a while?