This behavior is normal. Vim’s default is not to remember which code you had folded vs. unfolded from one session to the next. You can save your current folds; when you finish editing a file, before exiting vim, enter the command :mkview. When you next open the file, if you enter :loadview, it will restore your folds. If you want this to happen automatically, add this code to your vimrc
augroup remember_folds
autocmd!
autocmd BufWinLeave * mkview
autocmd BufWinEnter * silent! loadview
augroup END
If you want more features, this plugin does the same thing http://www.vim.org/scripts/script.php?script_id=4021.
Update: sorry, my original code didn’t work. It should work now.