Can you clarify the question? Western religion? Because Hinduism is a mayor religion... And they are not that conservative

This might be a better question for /r/AskAnthropology.

By casting the stance of the "major religions" on this matter as "conservative", you have already given a topical answer to the question - these normative systems contain instructions that were, at a certain time, an universal ethical standard in their culture of origin. Religions conserve these norms, just as they conserve normative instructions on other matters. Many of those are uncontroversial today.

When accepting this simple mechanism of "transmission", the more interesting avenue of inquiry that becomes apparent is why most of the major extant religions are so remarkably similar in their stance on sexuality - or rather, why, historically, regulations of sexuality were an important component of general normative consensus in societies and why these regulations are, across widely disparate cultures, so consistent.

Our sample is not terribly large - Christianity, Islam, Hinduism, Buddhism and Chinese folk religion are usually counted as the major religions. With a somewhat more lenient requirement as to size, Judaism and Shinto are occasionally included. Of these, three - Christianity, Islam and Judaism - have grown to a substantial degree from a very similar sociocultural soil and also each from the premises of its forebear(s) within that group, so that we should perhaps not look at their normative stipulations as independent developments. The same could be said of Hinduism and Buddhism. These five religions include normative stipulations regarding sexuality that we would consider "illiberal". Chinese folk religion and Shinto, although I cannot comment on the precise positions, seem to be characterized by a substantial absence of regulations of the permissibility of sexual acts (although they include a vast corpus of "praxiological" beliefs regarding sexual acts).