The game uses instances for dungeons and the like, instances only stay open as long as one person is there, barring the time limit ofcourse, but once no one is there they close to reduce server strain an lag on other players. Holding open multiple instances because someone D/C would bring the servers to a slow moving chug and that wouldn't be worth the strain on gameplay.
Also holding a place would be abused, someone gets a luring trap or something and quickly D/Cs to reset the floor they were on. You might think it wouldn't happen but anything plays can find an abuse they will find an abuse.