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I can understand your concern here.
Yes, sometimes it happened that blood clots can come out in the urine ( when had sex during menstruation).
It can be due to infection, injury or may be a normal finding.
You should keep watch on it, it will be resolved by its own but if it continues for a long than you should consult a Gynaecologist for the same and get yourself examined and investigated for the same and rule out the above mentioned cause.
Hope it is useful, feel free to discuss more.
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