I answered a similar query recently-

In DNN the host user is special as they are an admin in every portal, so moving between portals does not log them out. Similarly if a request makes it to a dnn site but cannot be resolved, then DNN loads the default (first) portal - so typically when you see an issue such as this the problem is either that the module contains a .net mapped request to a file outside the DesktopModules folder (and this request is interpreted by DNN as a change of portal, causing the user to be logged out), or that the portal alias's/IIS binding for the DNN site is wrong. As the child portal is loading the 2nd example will not be the problem, so it's likely the first - to check, use a http proxy such as fiddler and access the module in the child portal. View the requests and see if anything goes to the primary portal (e.g. perhaps a request such as mysite.com/portals/0/somefile.aspx), or calls a .net mapped request (.aspx/.asmx etc.) outside desktopmodules (e.g. mysite.com/myservice.asmx or mysite.com/thumbnail.ashx). If you see that you need to either rearrange the code so the file is within the desktopmodules/ folder, or ensure the requests have a portalid appended so DNN can assess that the request came from a user of that portal (i.e. mysite.com/myservice.asmx?portalid=1)