When you turn on your Mac, you are logged in without ever being prompted for your password which you have set.
You need to turn off the Auto login setting:
- Click the Apple icon in the top left.
- Click System Preferences.
- Click on the “Accounts” icon.
- Click on the padlock if it is locked and enter your password.
- Click on the “Login Options” item in the list of accounts on the left side of the “Accounts” System Preferences window.
- Uncheck the “Automatically log in as” option.