Google app engine Endpoint and HTTP Sessions - ajax

Question

I'm deploying an application in Google App Engine and I'm also using the Cloud Endpoint feature for REst call.
I use a custom domain to point on my application. As you probably know, Endpoint doesn't support custom domain. So my situation is this:
I open the page http://www.example.org
I do an ajax request to an Endpoint like https://my-example.appspot.com/_ah/api/service
Now the problem is: Everytime I do an ajax request to an Endpoint, a new Session is created!! How can I keep the session between requests? I inspected the responses from Endpoint, and I didn't find any reference to session cookie...
UPDATE 1
For the Ajax call I'm using JQuery.
$.post('_ah/api/user/v1/login', function() {
console.log('logged');
});
I now add this is for adding the withCredentials field.
$(document).ajaxSend(function(elm, xhr, s) {
xhr.withCredentials = true;
});
UPDATE 2
This is my request and the server response headers
Request
Accept:*/*
Content-Type:application/x-www-form-urlencoded; charset=UTF-8
Origin:http://www.example.org
Referer:http://www.example.org/game.html
User-Agent:Mozilla/5.0 (Windows NT 6.1; WOW64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/42.0.2311.90 Safari/537.36
X-CSRFToken:xkNZPouvfl2mRT0IKFZNB2xJpffaaK3UuYhhg5eoeRAiMqxaoQ14q93cv2xeRnYP
Response
access-control-allow-credentials:true
access-control-allow-origin:http://www.example.org
access-control-expose-headers:Content-Encoding,Content-Length,Content-Type,Date,Server
alternate-protocol:443:quic,p=1
cache-control:private, max-age=0
content-encoding:gzip
content-length:165
content-type:application/json; charset=UTF-8
date:Sun, 19 Apr 2015 12:40:49 GMT
expires:Sun, 19 Apr 2015 12:40:49 GMT
server:GSE
status:200
version:HTTP/1.1
x-content-type-options:nosniff
x-frame-options:SAMEORIGIN
x-xss-protection:1; mode=block