That is exactly how themes are supposed to work! Imagine if every time you switched themes, the demo data was added in; it would be terrible!
The theme is simply the look and feel, and does not change or add content, except in the rare case of a header image. Themes may contain starter content, but this is only seen on a fresh installation of WP and you have to be in the Customizer and save it.
Please understand that the theme can be switched at any time, even between pages and via plugin, so themes cannot be adding content.