Is this bad
It depends how many times its happened, and whether you've had sex before.
If this is the first time you've had sex its because you've lost your virginity and have broken the thin layer of skin (the hymen) of your vagina.
If you've had sex before and this is the first time its happened, it could just be because your partner was being particularily forceful and may have broken some more of the skin around your vagina (nothing to worry about, its probably very small and will heal) in which case it will hurt for a while and you should ask your partner to be slower and more gently untill your vagina is more flexible.
If you've had sex before and this is a re-occuring thing then you should probably see a doctor. If your partner has a particularily large penis this could be a problem as forcing it in and out of you can cause discomfort and tear you a little bit - hence the bleeding, you can avoid this by making engaging in a lot of foreplay before sex, this will moisten your vagina and in turn it will loosen up and become more flexible.
Alternatively you could be on your period and just not have noticed, in which case its fine, it should'nt be painful, its fine to have sex on your period but just make sure your comfortable.
Hope this helps
If you're worried, talk to a doctor about it. We're not doctors here, so we can't tell you if it's fine or bad.