The coachee does not want to end the relationship.
This may be because the coachee suddenly loses his or her confidence when you say that the coaching has finished. The coachee has been performing confidently up to this point, but is now scared to continue completely alone. It may be that the coachee does not want to take final responsibility for performing the task or job and as long as the person can claim to be in a coaching relationship he or she will not have to.
You will need to use your judgement and knowledge of the individual and decide whether you are going to gradually wean him or her off the coaching sessions or stick to what you have said and withdraw totally and immediately.