Yes, it will normally cause problems. Your body gets addicted to this way of getting an orgasm. The nerve paths forms a preferred path for sexual signals due to those nerves being used over and over and over when you hump your pillow. The solution is simply to train your body to also use other signals to get to orgasm.
You can try this yourself, or seek professional help. It is not quick, and it will take some practice on your side. The process is just to complex and long to describe here, but it is not difficult. With the right guidance you can do this. There are a number of good books on this as well. These can be ordered from your favorite online book seller. Search for 'orgasm'.
Most women does not orgasm from penis-in-vagina intercourse alone anyway. Some stimulation and grinding on the clitoris is needed to bring her to orgasm. This is just because of the anatomy of the clitoris in relationship to the vagina, and the mechanics of sex with your partner.
Take care!