If you read the Wikipedia entry, then the song was supposed to be named "set us on fire" but was misheard as "sex on fire", they found it funny and ran with it. And it's about one of the band members partners.

So no, it's not about STIs. If you want more meaning given the lyrics, then someone's genitals is sometimes referred to as their "sex" so "your sex is on fire" could mean your genitals are hot. Or, "on fire" can mean good at something so it could mean they're good at sex.