It's because (some) temporary data are created in the frontend. It shouldn't matter at all, except if it disturbs you.
You can avoid that completely by making the frontend file read-only, but usually it pops a warning message when the user launch the frontend. It will force temporary data to be written to separate files.
Another method is to set the frontend to compact before closure. However, that sometimes fail, thus causing more trouble than advantages.
The definitive method to avoid it, is to copy a fresh frontend to user. The user clicks a shortcut to a script that copies the file from the server to a local folder and launch it from the local copy. A script to handle that can be found here:
Deploy and update a Microsoft Access application in a Citrix environment