Connection: close HTTP 1.1

I am making a request to my mongrel server and I always receive:

Connection: close

in the http response, but I want a persistent connection, any ideas why
it is always closing?

My request header follows:

GET/users/index HTTP/1.1

I’m getting correct response header back apart from the Connection:
close i.e.

HTTP/1.1 200 OK
Connection: close
Date: Fri, 08 Jun 2007 14:09:48 GMT
Set-Cookie: _Package_session_id=a4c5d42e83ece57205451fad10335b16; path=/
Status: 200 OK
Cache-Control: no-cache
Server: Mongrel 1.0.1
Content-Type: text/html; charset=utf-8
Content-Length: 4

Any ideas how I can keep my connection open?