In this dystopian society, sex exists purely and solely for the purpose of procreation, to create the next generation of loyal Party zealots and subservient citizens. According to the prevailing ideology, true joy can only be found in love for Big Brother, and this is the only kind of love that the state will ever permit. If people can find love—whether it's sexual love with their fellow citizens, or the familial love of their nearest and dearest—it means that Big Brother has a rival for their affections, and that simply cannot be tolerated. Most people would always put their loved ones ahead of the state, but in a totalitarian dictatorship such as Oceania's, this is a subversive notion, to say the least. The Party and its agenda must always come first.
Winston's relationship with Julia is an act of rebellion; it's an expression of his loathing for Big Brother and all he represents. In loving Julia, he's simultaneously hating Big Brother, a jealous demagogue who needs the constant love of his people and will brook no rivals.