I've noticed that happening before too, and I agree that it would be nice to have the option preserve those tabs. I'm not aware of a way to do so right now.

However, this forum is probably not the best place to make features suggestions. I would recommend opening a new idea at Mozilla Connect so others can comment and vote on it.

Thanks for verifying that I'm not the only person noticing this problem. I'll post it to Mozilla.

I use multiple windows, each with pinned tabs and was frustrated with this behavior until I found a workaround.

Instead of closing each window individually, close Firefox by choosing Exit from the main menu or use the keyboard shortcut for it. This will close all of the windows in the session at once and Firefox will restore pinned tabs when you relaunch even if you have multiple windows with pinned tabs. Normal tabs can also be restored as well if you have the Open previous windows and tabs option enabled in Settings. Please note that tab groups are not pinned tabs and will only be restored when this setting is on.

The biggest downside of this for me was the period of time retraining my brain to not exit the windows I'm done with. Instead, I select all of the tabs in the window which I no longer want loaded and use the context menu to unload them... or just minimize it as-is if I don't care about the tabs taking resources.

For further control of how and when your tabs are loaded, see my answer here: https://support.mozilla.org/en-US/questions/1537833#answer-1769668