This is normal and expected behavior, and as far as I can tell there is not a way to change the setting.
If you had given us more information on what you goals were, we might be able to help you find solutions.
Such as, do you want the current color to stay what the last object was so that you can apply those settings to the 'new' object? If so, select the new object, use the Eyedropper Tool "keyboard 'i'", and select the object you want the settings from. Be careful with text though, it also brings in font info and size.