Because Android apps don't have an "exit" button like PC and Mac programs do, when you leave Chrome (or any other app), it's designed to preserve all the state so that it'll be there for you next time. If it closed all the tabs every time, then whenever you try to "share" a link, or paste some information into email, or even if you take a phone call while you're browsing, you'd get back to the browser to find all your tabs gone. That's why there's no setting to do this automatically.
On a phone, if you want to "exit" Chrome, closing all tabs, then go to the tabs view, press the menu key or the three-dots icon to bring up the menu, and choose Close all tabs. Then hit the back key.
On a tablet, I'm afraid the only way is to close each tab with the little ⊗ button.