My sheets are washed every week (not by me, but they are washed).

From what I have gathered (in conversations, sleeping around, TV, movies, etc.) most people do not shower before bed so they are not "very clean" when they go to bed; they take a day's worth of funk/essence with them to bed; some couples find these pheromones very attractive and welcome them in the sheets.
In addition you toss, turn, and perspire throughout the night, you may not notice it right away but this soils sheets with color and odor. Even in a chilly sleeping environment, your skin secretes oils that are deposited onto your sheets and pillows--especially if you sleep in the nude. Obviously, all of this may be less noticeable if your sheets are something other than white.
If you routinely sleep with someone else (wife, partner, pets) this adds to the need for frequent washing. Once a month washing strikes me as horribly unsanitary! Hotels, remember, change and launder bed linen every single day.