What OS are you on?
Maybe something about access rights? Session informations are stored in Session.sublime_sessions. Location for Windows: %APPDATA%\Sublime Text 2\Settings\Session.sublime_sessions).
Also there are two options:
// Exiting the application with hot_exit enabled will cause it to close
// immediately without prompting. Unsaved modifications and open files will
// be preserved and restored when next starting.
// Closing a window with an associated project will also close the window
// without prompting, preserving unsaved changes in the workspace file
// alongside the project.
// remember_open_files makes the application start up with the last set of
// open files. Changing this to false will have no effect if hot_exit is