I don't think it's just about sex. I'm not even sure incels think that. I think it's more about relationships and someone to share your life with. I know some people seem fine with just friends and casual sex, but I think a lot of people have a need, or strong "want," for a close, deep, intimate relationship. I know I do at least. Even if it was just about sex, sex is pretty much a human need.
Personally, I have severe life-long social anxiety (and depression), so it's always been very hard for me to make friends or meet potential partners. I have worked on my anxiety issue (medication, attempts at self help, though I could never afford therapy), and I am better than before (I used to sometimes get panic attacks just being around large groups of people), but it's still severe enough to hinder me in life in general (and noticeable to people around me).