Short answer: No.
Clintonian answer: It depends on your definition of difficult.
If you define difficult as embarrassing or uncomfortable, then I refer you back to the short answer.
While sweet/contemporary/historical/etc. romance authors might squirm when they have to write a sex scene, erotic romance authors like writing sex scenes—the thrill is part of the reason why we write erotic romance and not another subgenre. It doesn’t make us uncomfortable to write it—we relish it.
But if you define difficult as challenging, then yes it is. To make a scene flow, to strike an appropriate balance between mechanics, emotion and thought, to select the appropriate words given the limitations of the English language when it comes to describing sexual matters—and then to try to do it all in a fresh way in the next scene, and the next book…well, yeah, it’s difficult.
Some sex scenes are tender and romantic, others are hot and naughty, some maybe even rough. Unlike porn, sex in erotic romance means something…it is not gratuitous but conveys emotional meaning beyond physical horniness. You have to balance physical acts with emotion and thought. The sex scene has to be paced and timed. If it occurs too soon in the story it may turn off readers—too late and you frustrate readers unnecessarily (a little frustration is good). You must decide where, when and how your characters will have sex.
For all the simple mechanics involved in having sex, writing about it is complex. Sex scenes can be more difficult to write than any other scene in that respect.
But it’s still fun!