All perfect praise be to Allah the Lord of the Worlds. May His peace and blessings be upon our Prophet Mohammad and upon all his family and companions.

Sa`iy is one of the integral rites of Umrah, so one`s Umrah remains incomplete until one offers it. In addition, it can`t be made up for by slaughtering an animal and a Muhrim can`t get out of the state of Ihram until he/she completes it and cuts or shortens hair to make Tahalul (freeing oneself from the prohibitions of Ihram). 

One who returns to his/her country without completing the rite of the Umrah remains in state of Ihram and is required to go back to Makkah to complete the Umrah. During this period, he/she isn`t allowed to violate any of the restrictions of Ihram, such as cutting hair or nails, wearing perfume or having sexual intercourse. Therefore, if he has intercourse with his wife before the completion of the Umrah then it is considered invalid and he must make up for it immediately, even if he was performing it voluntarily, because having started the rites of Umrah makes it an obligation upon him. Moreover, he must slaughter a camel for nullifying the ritual since the intercourse took place during a state of valid Ihram from which he hasn`t made Tahalul. Al-Kateeb Al-Shirbini {May Allah have mercy on him} said: "When sexual intercourse takes place before the completion of the ceremonies of Umrah, it is rendered invalid. Intercourse that invalidates Hajj or Umrah obligates sacrificing a camel, which has the characteristics of Udhiyah, as Kafarah (Expiation)." {Moghni Al-Mohtajj, Vol.2:p.299}.

As for the restrictions of Ihram nullified before the Umrah was rendered invalid by intercourse, each must be expiated, either by slaughtering a sheep, fasting three days, or giving three Sa`s for six needy people; half a Sa` for each. And Allah the Almighty knows best.