As far as I've noticed, this happens when, for example, you click in the menu to exit to the main menu, but at that moment the connection is interrupted or the opponent exits, and you are automatically kicked out to the main menu. In this case, the game somehow remembers your last unfinished action, i.e., it is considered unfinished because you were kicked out to the main menu due to an interruption, and not voluntarily, and then it completes your action, i.e., it takes you to the main menu when starting a new game. To prevent this from happening, I usually load a single-player game and only then join the multiplayer.