ExpressionEngine can use two pieces of information to control login sessions: cookies and a PHP “session”.  With the default EE settings, Control Panel access uses both cookies and sessions.  User logins (i.e. logins on the regular, non-Control Panel, site) only use cookies.

So, if you login through the regular site, then you have a cookie set for your login.  You then go to the Control Panel and EE notes that you have the correct cookie set, however you do not have the PHP session set.  So EE displays the login in order for you to have the session set.

If you want, you can go into Admin > Security and Session Preferences and change the Control Panel logins to only use cookies.  If you do that, you’ll automatically be logged in to the Control Panel if you log into the regular site (assuming, of course, that your user has permission to access the Control Panel).  It should be mentioned, however, that requiring PHP sessions to access the Control Panel adds an additional layer of security.  It is up to you to assess whether you want to remove that added security layer by only requiring cookies.