Los identificadores de SESSION tambien se pueden enviar por COOKIES (Solo el identificador nada mas).
Revisa estas directivas en tu php.ini:
Cita: ; Whether to use cookies.
session.use_cookies = 1
; This option enables administrators to make their users invulnerable to
; attacks which involve passing session ids in URLs; defaults to 0.
; session.use_only_cookies = 1
; Name of the session (used as cookie name).
session.name = PHPSESSID
; Lifetime in seconds of cookie or, if 0, until browser is restarted.
session.cookie_lifetime = 0
; The path for which the cookie is valid.
session.cookie_path = /
; The domain for which the cookie is valid.
session.cookie_domain =