If you are browsing in Private / Incognito mode, your browser will not save the session information. When you close your browser window, you will need to sign in again. This will happen for all websites you use until you switch your browser back to normal browsing mode.
If you are signing in with Facebook, your account will automatically sign out because the third party authorization with Facebook will expire. This is outside of ArtStation's control. To keep your session active, sign in using your email/password instead.