If you had the file open last time you closed the project it'll be re-opened again, regadless of whether it's in the project or not. They are two different things: files pertaining (and included in) to the project vs. files opened in the edtor.
That allows you to have, for example, a "reference" text, a extra unit/form from where you're copy-pasting some code/controls, etc. opened alongside the project.
HTH!