Remote Desktop Services (RDS or RDP) and Terminal Services provide two options when closing a client session: you can either "Log Off" or "Disconnect".
Log Off - Ends the session running on the remote computer or server. Any applications running within the session will be closed and unsaved changes made to open files will be lost. The next time you log onto the remote computer or server, a new session is created.
Disconnect - Leaves the session running on the remote computer or server. You can reconnect to the remote computer or server and resume the session. If you are running a task on the remote computer or server, such as a time consuming query on a database, downloading a file, etc., you can start the task and disconnect from the session. Later, you can log back onto the remote computer or server, reenter the session, and check the results. This is especially helpful when operating over a remote access connection on a mobile network.