Opening a file from Finder in Preview makes the screen revert to another program

If I’m editing a lot of files in Finder, and opening them up in Preview to be able to (say) save as a jpeg, when I close Preview, because the screen has jumped onto something else (like iMovie) I need to navigate back to Finder.

Anyone know why as soon as you double click a file to open in Preview, rather than the ‘back screen’ just stay as Finder, it jumps to something else that’s open. If nothing else it opens it goes back to the Desktop screen.

Thanks.