Same on OS X - unless you have an app specifically assigned to a Space.
Check what you have set for each app by right-clicking it in the dock…
- All Desktops - the app will follow you wherever you go
- This Desktop - will change to show the Space number once assigned, then will always open in that Space.
- None - will open in whatever Space you're in at the time.
After comments:-
If you have Mission Control set to 'Displays have separate Spaces'& 2 monitors, you will need a minimum of 3 Spaces before these options will become available to you.