This is by design. Sessions requires an ID to get passed around. It can be passed by cookies or as a URL parameter. Even if it wasn't on the URL, you would still be logged in. Assuming you revisit the page before your session times out. I might recommend providing a log out feature which kills the session when the user clicks log out. Trick is, if the user doesn't "log out", the session stays active and they can go right back to the URL, either with the session ID on the URL or in a cookie.
If this still is unacceptable, then maybe sessions isn't a good fit for your site.