It does do that. Controlling the flow of glue helps, so that glue does not carry on leaving the gun after applying the glue.
When I glue, before pulling the glue gun away, I put the nozzle on the surface to wipe off excess glue and then swipe out to the side to reduce the effect. if a strand of glue does follow, it is easier to get rid of if it just falls to the side - it doesn't get snarled up in the higher structures.