"Sex club" covers a variety of things.
If you mean a "swingers club" (a "club libertin" or "club echangiste) then try Le chateau de Lys at 103 rue Marcadet in the 18th arrondissement. Their website is here: http://www.chateauclub.fr/ or Le Roi Rene at 184, Rue de Versailles in Ville d'Avray (a suburb). their website is here: http://www.roi-rene.com/
If you mean a place with a lot of wild stuff going on then try the Club 41 at 41 Rue Quincampoix in the 4th arr. http://www.paris-zoom.com/fiche/134/Le-4… (beware, if you click on the video there are some x-rated moments)
For a place with mixed saunas and nude swimming (among other things) try Le Club Saint Paul at 6 rue Saint Paul (4th)


