Any new tabs you open or any new site you go to in one of the existing tabs, will be marked with a colored tabs. When you exit PB mode, these colored tabs will be closed.
If you wish, you may exit the PB mode but not close any of the tabs. It's defeat the reason for going into PB mode in the first place but you have the option if you so choose.
If you want to start your private browsing session without any previous cookies, you always have the option of selecting 'Start Private Browsing' from your 'Tools' menu.