3 or more people having sex. Usually requires at least one male. Sometimes used just for something funny to say when a group of people leave together and you don't know what they're doing.
This is a real life example, with some names changed.
Jane, Anna and Betty leave the room to go to the bathroom.
Bob: Are they going to the loo
Chloe: They're probably having a gangbang.
Bob: But don't you need a cock
for that? Or did they bring a dildo
Me: You sick minded freaks!