I can't believe I know something about this, I saw this video about it years ago. It started with funny animals and making them more adult, Funny Animal Fanzines.

Some porn tropes--e.g. knotting, going into heat, oviposition--only really work with furry/alien/supernatural characteristics. Furry fandom is one way to explore beyond the realm of what's possible in the real world.

Besides, people have been identifying with and fantasizing about being animals for as long as there have been people. It's not weird to imagine that would cross over into sex somehow.

(Warning, pulling stuff out of my ass, I have 0 data to back this up, more of an opinion that anything)

I have a kind of different perspective or opinion to a lot of others. I'm not a furry btw. I think a lot do involve sexuality in some way (even if its just fantasy or drawings, you really can't have sex in those costumes, lol). There is nothing at all wrong with this. Obviously, the people going to the cons, etc do the sex stuff on the down low, much like how you don't advertise your kinks in public due to the potential for backlash. Its also entirely possible those involved for sex have no desire to dress up and go to a convention or vice versa.

It could potentially be because being a furry is such a huge part of some people's lives, its just a natural extension of that. It could just be the rule 34 aspect, where if something exists porn will be made of it.

Anyway, most importantly, contrary to polite society's belief that everyone should be the same (straight, christian style, hole in the bedsheet sex) there's nothing wrong with it with the usual caveats of consent and morality (all parties consenting, no underage, no literal animals)