Note: the URL to .conf2015 recorded sessions and presentations has changed. Here is the new URL to use: http://conf.splunk.com/speakers/2015.html#
(So, this is where one can find the presentation titled "The 'State' of Splunk - Using the KVStore to Maintain App State")
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This is not unique to Splunk. It is the nature of IP and HTTP protocols - they are stateless. So, you cannot really track a 'session' since there is none to track. Each request is treated as an independent transaction.
More information can be found at http://en.wikipedia.org/wiki/Stateless_protocol
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