A stateless EJB does not have a session. Are you referring to something else, like the EJB instance not being destroyed, or maybe the connection remaining?
Yes is correct ejb stateless hasn't session, my mistake.
The problem is: the connection is not closed!
There is the method close() in the class EJBClientContext on Wildfly 8.1
In general the connection is keept open as the selector can be used as long as the client is alive.
If you close the context you need to register a new selector for the next invocation.
Why do you need such approach?