Documentation for JIRA 4.2. Documentation for other versions of JIRA is available too. 
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Administrators can configure JIRA to prompt users with a confirmation before logging them out. You can adjust this setting by going to the Administration page and then clicking the 'General Configuration' link found under 'Global Settings' on the left pane.
As shown above, JIRA will never prompt users to confirm logging out by default. To change this, click on 'Edit Configuration'.
The Never and Always settings are self-explanatory. When set to Cookie, your JIRA users will only be prompted if they have logged in using a cookie (i.e. by selecting the 'Remember my login on this computer' check box before they click the 'Log In' button).