Yep,
Go to Tools, Options,
Go to the Privacy tab and untick "Always clear my private data when I close Firefox".
Done!
EDIT:
You can also untick for it to ask you though, if you did want it to clear, but didn't want the message to come up.
You can specify in that case what it clears each time, by going to Settings in the same menu and unticking what you don't want it to clear. For instance, Saved Passwords.