Because with @Stateless
you're telling the container that you are not holding any state, but you do hold state.
With @Stateless
the container only creates one instance of the bean, because there's no need to create more.
You might want to read a bit more about JEE and what the annotations mean: http://theopentutorials.com/tutorials/java-ee/ejb3/session-beans/slsb/introduction-11/