I think this was a misconception due to misinterpretation of one of the mechanism of hair loss. Those that state that sex results in hair loss mostly think that high testosterone levels cause baldness. This is incorrect, however.
patterned baldness in males is usually caused by dihydrotestesterone, a conversion product of testesterone. So high testesterone levels do not necessarily cause baldness but the conversion of testesterone by the enzyme 5-alpha reductase to dihydrotestesterone may. In other words, high levels of 5-alpha reductase are bad for the hair, high levels of testesterone not necessarily so.