It can be normal for children to have an issue with this but it does sound like she is taking it to extremes
If you feel councilling is needed and might help then absolutely look into that, you know her best
If it were me (and we have several children but none with such an extreme reaction so this might not be helpful) I would absolutely refuse to discuss my sex life with her. If she asked or 'accused' me I would tell her that is private between DH and I and not any of her concern. That what adults do together is natural and normal but private and not up for discussion
We have a lock on our bedroom door and we often have times when we are alone in our room with the door locked. To listen to music, to watch a film, to discuss one of the dc etc we didn't want to make the door being locked a sign that we were going to have sex
If she is knocking on the door late at night I would check she was ok and then ignore her, she is not a toddler and I think giving in to her might be reinforcing the idea that your sex life is has something to do with her and is under her control
If she blames any of her bad behaviour on this I would nip that in the bud and tell her not to be so silly, but at other times I would make sure you were both very physically affectionate with her to limit the jealousy
I'm sure my teenagers would prefer it if we were never to have sex again, and my pre-teen dd would love nothing more than to sleep in between us every night but we were not prepared to give up our sex life or let them have control over it. We are as quiet and respectful as we can be but that is where we draw the line