The anonymous session gets created when a user who isn't logged in tries to navigate to your index.html page. This happens automatically when a user is logged out, as they are redirected to the index page.
This is the designed behavior of the platform. What problem is it causing for you?
What you have done is created a home page for the anonymous user that is not suitable for the anonymous user.
You should redesign the anonymous pages.
Secondly, you can create Role based home pages through your modeller.
On your project explorer, expand your mendix project and click on 'Navigation'
On that page, under Home pages, you will find Role-based home pages. By pressing edit, you can choose a role and the ability to 'Select target' which is basically a way of giving you control on where the user with the chosen user role is taken for a home page