The explanation for the relationship is likely to be complex. Four possibilities are proposed. First, sexual risk taking and substance use may be part of the cluster of risk taking behaviors common in adolescence and young adulthood (Arnett, 1992; Boyer et al., 2000; Caspi et al., 1997; Desiderato & Crawford, 1995; Donovan & Jessor, 1985; Taylor, Fulop, & Green, 1999). For instance, people who are impulsive may be more likely to engage in both activities and, consequently, more likely to become substance dependent. Second, occasions of substance use are opportunities for sexual behavior because of its disinhibitory effects and lack of accurate perception of risk (Crowe & George, 1989; Fromme, D’Amico, & Katz, 1999). Weinhardt and Carey (2000) have suggested, in a review of event-level research on this topic, that the association, especially with condom use, is also complex. Thirdly, shared context may be an important factor, insomuch as young people are likely to meet new sexual partners in situations where alcohol is served. These settings might encourage sexual behavior and facilitate multiple partnering.
The fourth intriguing possibility is that it is something about having multiple sex partners itself which puts people at risk of substance disorder. For instance, it may be due to the impersonal nature of such relationships. Or, it might be that multiple failed relationships create anxiety about initiating new relationships. Self "medication" with substances may be one way of dealing with this interpersonal anxiety (Khantzian, 1997; Stoner, George, Peters, & Norris, 2006).They also note the studies showing that alcohol use correlates with more risky sexual practices; I didn't see reference to the one suggesting drinking was associated with more positive consequences of sex.
I'd also worry about cohort attrition effects: if men and women who are more psychologically stable are more likely to get married before the age of 30, then the pool of women reporting >2.5 sexual partners per year* between the ages of 26-31 is probably different from the pool of women reporting the same numbers in their early 20s [recall that the Dunedin study follows a cohort born in 1972-1973]. 9.5% of women reported 2.5+ partners per year at 18-20; that dropped to 4.5% by age 21-25 and to 1.7% - 8 women - by age 26-31.
I wish that the Dunedin study had some calibrated measure of risk tolerance, like the Holt and Loury measure, as well as a measure of individual discount rates. I would love to see pinned down what portion of risk-taking behaviour comes down to heterogeneity in individual risk tolerance, what portion comes down to that things with longer term costs might be disproportionately preferred by those who avoid the tyranny of the later-self, and what portion might be due to amplification effects where doing one risky thing actually does make you more likely to do another risky thing.
But the takeaway here is that studies suggesting drinking is associated with riskier sexual activity might well worry about reverse causation or common underlying causes.
* No, you can't have half a sexual partner. They're asked number of partners and that's averaged across the age range for that respondent.