That's what a Browser does it closes whatever activity or session that was active unless you "click" restore session. And this isn't just a Browser but system does this as well if you password protect it will ask for the user login at restart as well. So not sure what is really being asked here.

First of all, look at your Privacy settings as shown on this article: Websites say cookies are blocked - Unblock them. Make sure that Delete cookies and site data when Firefox is closed is turned off.