What's difference between Servlet/JSP session and EJB session?
But, is important to understand, that the session is maintained in different ways and, in theory, for different scopes.
A session in a Servlet, is maintained by the Servlet Container through the HttpSession object, that is acquired through the request object. You cannot really instantiate a new HttpSession object, and it doesn't contains any business logic, but is more of a place where to store objects.
A Stateless Session Bean doesn't maintain any state and there is no guarantee that the same client will use the same stateless bean, even for two calls one after the other. The lifecycle of a Stateless Session EJB is slightly different from the one of a Stateful Session EJB. Is EJB Container's responsability to take care of knowing exactly how to track each session and redirect the request from a client to the correct instance of a Session Bean. The way this is done is vendor dependant, and is part of the contract.