Marriage is sunnat, all but only two messengers (Yahya and Jesus) did not marry, so that shows that although its sunna, its not a gunaah if you dont follow that.
Sex is our biological need and as Islam does not allow sex outside marrriage, that is why marriage is recommended, but its not that if you dont marry, its against Islam
Hadeeth states that marriage completes one-half of a person's deen.