PHP session lost after file download

I installed my web application at a new host.
Everything is fine except when downloading files.
The PHP session is lost when a user opens a file (example: a PDF) in another tab of the browser and therefore the user is logged out of the application.
I am having this problem with Chrome and Edge, but not with Firefox.
I did not have this problem when the application was hosted at the previous host.
I would like to stay with the new host because its servers are very efficient.
PHP server version is 7.3.
Do you know why this may happen?