What Causes Periods After Having Sex?

hello. i had my son 1-18-11 and got on the depo shot about months ago. i stopped it after the first shot cuz i wouldnt stop bleeding. i finally got on a normal cycle but every time i have sex, which is not often, i get my period. i thought it was coincedental but i had my peiod 2 weeks ago and saturday i had sex and i started again the next day. why? should i be worried? is it cuz the depo shot? or is there something wrong with me?