I can't speak for Italian, but coming for another very heavily Catholic country I would say that the reason is that most other words having to do with sex are v

I can't speak for Italian, but coming for another very heavily Catholic country I would say that the reason is that most other words having to do with sex are very much perceived as either bad (e.g. blasphemous or just rude), or simply medical, based on the traditional usage. The word "sexy" (as opposed to "sex") has always had an air of playfulness and joy.