This tends to happen when you're using one generic logon form, but you're explicitly specifying the Controller and ActionMethod (which is causing a form post, but losing the querystring)
Just to clarify, this is what your code should look like in your BeginForm:
Html.BeginForm("LogOn", "Account", new { ReturnUrl = Request.QueryString["ReturnUrl"] })
EDIT: This is by design as RickAnd mentions in comments below. However it doesn't allow for the UI pattern of being deep in a site, clicking on LogOn, then returning to the page you were previously on, if it allows anonymous users. It's a commonly requested pattern. David Allen's approach to LogOff would also work nicely for a clean redirect at LogOn.
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