I may well be wrong about historical behaviour, but for at least a few years now (i.e. within my memory) it's been the case - but you need to create a new instance, not just a new document. I.e. if you open a specific file, or do anything to start a new document from within excel, it will keep the same instance.
It's still ridiculous behaviour, and drives me crazy because on a typical day I'll have a minimum of 3 spreadsheets open (3 sheets I always need quick access to) and often 10-20, and it can be a real pain in the ass remembering which sheets are in which instance, leading to regularly needing to close a sheet, start a new excel instance, then re-open the sheet in that, whenever I want to look at it side by side to another sheet. And even more annoying, if I'm opening a sheet that's an email attachment, I can't just open direct from Outlook, I have to save it locally so I can make sure to open it in the correct instance.
There's also this weird thing about how it thinks you want to shut down spreadsheets. I always forget which way is which, but sometimes it thinks you want to shut just the active sheet, sometimes it thinks every sheet you have open (in that excel instance). Just checked here and it doesn't seem to be the case on my home PC (Office Professional Plus 2010), but it definitely does on my work laptop. I think it's different behaviour between the X in the top right, double clicking the top left logo, and using alt+F4, I just can't remember which is which. But any logic would say that if you're showing multiple windows on the task bar, telling one to close doesn't mean close the others, and I think this is essentially tied to the same issue with trying to view sheets side by side.
I've never had issues with Word as others mentioned, though - possibly due to luck with versions I've used, or maybe I just don't have to compare two word documents side by side as often as I do with spreadsheets.