Some women during their first few times having sex bleed a little. Even in later times a woman can bleed during sex if she is not fully aroused when having sex or requires more lubrication.
Contrary to popular belief, you don't tear your hymen when you have sex. You only stretch it a little--some women's have already worn away or are so small they don't need to stretch at all.
If the bleeding does not get lighter you may want to contact your healthcare provider.