Well, they are adults so I'd probably have a conversation with them regarding what your comfort level is with their guests that stay in your home.
I agree. Just tell them it feels weird to you, if that's how it feels. I'm going through this with my two sons, ages 19 and 25. Before the 25 year old was engaged, I had a midnight rule, no girlfriend in his room after midnight. Yes, he was paying rent and was a legal adult, but it felt uncomfortable for me and my husband to know my son had a girl in his room at 1 AM when we were in our bedroom right next to his. Thus, the midnight rule. They had to go downstairs to the living room sort of out in public, even though it was private since we were already in bed. Now that my son is engaged, and we have come to know and love his fiancee', there are no rules. DH and I aren't uncomfortable if she's in his room all night, but mainly beca7use we already feel comfortable with her as part of the family.
My 19 yea old has been with his girlfriend for a year, serious now it seems. She lives in Florida, we live in NY. When she comes to visit, she stays with her grandmother but basically is here until 2 or 3 in the morning. The midnight rule applies...out of the bedroom and into the living room, only because we're still in the "feeling weird" phase with her, knowing our n19 year old has a girl in his room late at night while my husband and I are nearby in our own bedroom. I feel like when we're over the "feeling weird" stage we'll not mind the 19/20 year old girlfriend in his room late at night.
By the way, both girls have never spent the whole night.
I have to admit I do have moral, religious feelings that make me want to say "this is my house, no sex in my house", but I also admit I've put that aside, as long as they abide by the midnight-in-the-livingroom rule. I don't know if they're having sex, but I'm not naive and know it's likely or at least possible. But I don't want to dwell on that.
Anyway, sorry to be so long, but just anted to share with the OP. Again, just tell them it's uncomfortable for you.
Please excuse the typos; I'm typing in a room lit only by my tv.