Search first! Forum or Google, you'll find this exact question any number of times.
Nothing is wrong with your PC, this is the standard, out of the factory behaviour.
It's called Hibernate. When you hold the power button down then press it again, you are actually turning the computer fully off then on again. Similarly, when your screen goes blank after a few minutes, it is your PC cutting the video output to save power.
You can turn hibernation off from Control Panel > Power Options.