It needn't.  What is probably happening is that you are running your window
manager as the last job in your .xsession or .xinitrc file; your X session
runs only as long as the last job is running, and so killing your window
manager is equivalent to logging out. Instead, run the window manager in the
background, and as the last job instead invoke something safe like:

		exec xterm -name Login -rv -iconic

or any special client of your devising which exits on some user action.  Your
X session will continue until you explicitly logout of this window, whether
or not you kill or restart your window manager.

Alternatively, there is a chance that you are using OpenLook, which by
default kills all clients on logging out. Change your Exit menu choice from
EXIT to WMEXIT to correct this behavior.