Lyric discussion by Prisoner.I.Was 

Cover art for Cannibal's Hymn lyrics by Nick Cave and the Bad Seeds

Yeah, obviously, sex is a theme of this song, but it isn't a sole theme. I always interpreted it as funnysmartname too, 'cannibal' could just refer to men who want to devour her without any emotional attatchment and this frustrates the song's speaker because he has that emotional attatchment, but she keeps swapping between him and the 'cannibals'.