It is logging you out but the next time you sign in, it detects the cookie it placed in your browser prefs and knows who you are.
Can't think of any reason to bother logging out though.
I've never done it & it doesn't seem to hurt anything.
unless you're worried about your name appearing on the sign-in list when you're not here. I'm sure there's a time-out though where it takes your name off the list after a specific period of activity.

If you don't want it to sign you in automatically, you have to either disable cookies, or remove the ones that guitartricks placed on your HD after each session. (or get a shareware that will do it for you)

The only time I remove cookies is when I want to get a full list of unread threads because even if you only read a couple of forums, it still marks all of them as being read.