If user is logged in to application and if he just closes the browser and tries to open the application again, he will not be prompted for authentication.
Azure AD’s Keep Me Signed In (KMSI) feature uses a persistent cookie to allow users with member accounts in the tenant directory to close and resume browser sessions without needing to sign in again. Azure AD generates the persistent cookie if a user responds affirmatively to the Stay signed in? prompt after a successful authentication.
In your situation it looks like persistent cookies is not getting set. Or user is logging out of application and later he is trying to login again.