I've done it with my pets in my room no problem. Then again, I have caged small pets in addition to 2 dogs and a cat, so I can't really get away from them. Plus if I kick them out all three will camp my door, leaving the rest of the family wondering what I'm up to
I've also had sex at my bf's house in front of our bearded dragons. I usually make sure the baby beardie isn't watching, coz it weirds me out when Akatosh stares like that
The adult is a big girl and can watch all she likes, haha.
So I don't think its wrong if they don't bother you, but you can always kick them out if need be.