I would ask her if she is doing it on purpose. The first one used to get up and walk me to the door -which was 5 feet away at most -I couldn't miss it or get lost or anything. I asked her why she did it-it turned out she thought it was polite -I told her I wanted her to stay away from me and she agreed not to do it. And she mostly stays back, although a few times she has either forgotten or checked to see if I had (yes that is the reason -I asked what she was doing and she said she thought things had changed so she could -the woman is perceptive as a rock -but she will take direction ).
I agree there is no reason to tell the therapist goodbye if you do not wish to do so. I have never understood the idea of thanking them - but I would look upon either of those as being for the person speaking, not receiving -particularly where a therapist was concerned.