That options exists what you need to do is check to make sure your privacy isn't set to remove all cookies, tracking and history. If any of these are checked it will remove them when the Browser closes. You need to look at the privacy settings that is where that is handled at.

Type about:preferences#privacy<enter> in the address bar. The button next to History, select Use Custom Settings.

Turn on Remember My Browsing And Download History At the bottom of the page, turn on Clear History When Firefox Closes. At the far right, press the Settings button. Turn on ONLY Cache and Form And Search History leaving the others off.