I wouldn't neccesarily say that's true, myself. Putting it in the Session is certainly one way to do that. But as a design choice, I wouldn't put it in the session unless it can really be thought of as an attribute of the Session. For instance, the currently logged in user is an attribute of the Session. A shopping basket is an attribute of the Session---it belongs to the current session, this makes sense.
If the object you are talking about is an EO (that is, an object that is persistent in the db, through the EOF framework), this is a bad idea on a variety of grounds. An EO belongs to a specific Editing Context (EC). A typical editing context belongs to a certain session---and unless you are using an EOSharedEditingContext (not neccesarily for the beginner), it's dificult and not reccomended to do otherwise. There are a bunch of reasons storing an EO in Application state is really not a good idea.