This is actually a feature, and I wouldn't turn it off if I were you, as the console window will close immediately, without you having a chance to evaluate the output of your program.
But if you really want to, go to the top level menu, Tools > Options > Debugging > General and you can then toggle on/off "Automatically close the debug console when debugging stops"
And if you're doing continuous development, VS will "flush" the console for you when you restart debugging (F5), so you won't have to worry about closing multiple console windows.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…