VMware Horizon Client closes after locking the workstation

Hi,

I work within a corporate environment and I user VMware Horizon Client 3.5.2 to connect to my VDI at my company's site (I work as a contractor). I use Windows 7 Enterprise 6.1.7601 and connect via RDP

The issue is that every time when I establish a connection to my VDI and lock my physical workstation, the WMware client closes and I need to log in again.

Is there any way to prevent this from occurring? In other words, is there a way to lock my physical workstation and have an existing WMware session established when I unlock my PC?