It's related to timeout options. man pf.conf(5), Options sections, timeouts.
By default, pf offers to you a three 'lists' of timeouts values: Conservative, Normal and Aggressive.
If you want to drop completely the connections states early, you can use Aggressive staff. But PF is extremely flexible: you also can configure every timeout value according your specific needs.
I recommend the reading of this precious resource: http://undeadly.org/cgi?action=article&sid=20060927091645
-- Thanks, Jordi Espasa Clofent
