I don't see how that's possible, unless you're exceeding the session timeout, have a periodic update to make sure you're in the same app, or something. That'd be like saying you're logged in to gmail, go to cnn, and come back and your gmail session is gone.
Are the applications on the same domain? For example faq.javaranch.com vs mine.javaranch.com? If so, they could be using the same path for the cookie. This happened to us - application 2 was overwriting the cookie of application 1 effectively disconnecting the session of application 1 from the user.