I am getting headaches during sexual intercourse or even masturbation anyone have a clue about this?

Could be possibly too much caffeine intake or salt intake

This kind of situational headache is most likely caused by stress. What about sex makes you tense? Therein lies your answer.

Best wishes,

You did not state how old you were. You could have a blood pressure or high blood pressure problem as this could cause you to have headaches during sex.

It might just be time to come out of the closet?

It's no laughing matter. I just experienced my first of these and it's a good idea to see a doctor. Most are harmless but it could indicate a more serious problem. More info here.