Kitchen faucet gives hot water when I close the cold tap

I have a faucet in the kitchen sink that is provided cold water. There is a pipe from the faucet to the electric water heater, and then a third pipe to feed the hot water back to the faucet.

When the water heater is full of hot water, I notice a problem. I open the cold water, then close it, and the faucet runs for an extra second. In that second, the cold water is totally cut-off and the faucet starts pulling hot water from the hot water tank. The next time I try to use the cold water, I first painfully burn my hands with the blistering hot water still in the faucet, and then get the cold water.

Why would this happen? If you are wondering, like me, why my faucet has 3 pipes, i have created another question for that.