This is standard behavior on OS X as of 10.7. It affects most applications on OS X. You have two options:
1) If you don't want this ever happening for any application, go to System Preferences->General and check "Close windows when quitting an application."
2) To solve this issue with preview, hold down the OPTION key when you quit. So option and then use the menu item, or use option-command-Q. The next time you open Preview you'll have no opened documents.
Note that option-comman-Q is a toggle: It will do the opposite of what you have system preferences configured to do (in step 1).