This is an OS-level thing where apps can act more "iOS-like" by saving and restoring their state when they're closed/opened. I agree, it's annoying.

There might be a way to turn it off but in the meantime you can press command-option-W to close all windows.

EDIT: You can disable this globally in System Preferences, or on a per-app basis by writing to the app's defaults:

  defaults write com.apple.Preview NSQuitAlwaysKeepsWindows -bool false