This is normal behavior for UDP sessions. The nature of UDP is that it's stateless, unlike for example TCP. A TCP connection is normally ended explicitly using FIN-packets, so the firewall 'knows' that the session ended.
For UDP a time-out is used (which defaults to 1 minute). So when the firewall hasn't seen traffic on the specified port for more than one minute, it closes the session and you'll see the "CLOSE - AGE OUT" message in your logs.
Steve