The law (Torah) came from God on Mt Sinai, and Jesus agreed with everything the Torah said, including everything about sexual immorality, because it all points to him (Luke 16:29-31, John 5:45). He followed the law perfectly which made him sinless, and that qualified him to die for our sins. The law says that incest (Lev18:1-18), adultery (Ex 20:14, Deut 5:18), same-sex intercourse (Lev 18:22, Lev 20:13), bestiality (Lev18:23, Lev 20:15-16), and fornication (Ex 22:16-17, Deut 22:28-29), are all sins that were punishable with execution. Sex between a married man and woman that have no conflicting relationship (blood or otherwise) between other family members, is the only legit way to have sex. Jesus agreed with this because he followed Torah and believed it to be the word of his father God.