My guess is in your browser or operating system or "security suite" (remember when we used to think anti-virus would solve all our problems?) there is a setting to delete all your cookies on exit.

For instance on this computer I have Firefox as my browser.  Opening {Tools} I look under {Options} then under {Privacy} I find "Always clear my private dada when I close Firefox".  Sounds like a good thing ... until I have to log in to everything every time I use it.

I am pretty sure Internet Explorer ha a similar setting and I have seen some of the anti-virus type stuff offer to do the same thing.  And I think you can mess with some settings in Windows that will do that as well.

And it could be something else entirely.  Ain't computers just grand?