Its a computer issue with your computer and good luck solving it. I don't mean that in a mean way, its just I've been there and its frustrating. I checked every cookie and security setting...nothing. The problem was occurring with several sites and I also had some shopping cart issues. Sometimes it seemed only certain sites were affected.
I even uninstalled and reinstalled both my browsers to no avail. The only thing that fixed it for me was when I upgraded my hardrive and reinstalled everything! I still don't know what the problem was. Obviously some setting somewhere got changed or some file corrupted. It was happening with both IE and Chrome. Meanwhile the computer sitting right next to it had no problems whatsoever.
It can assure you it is not a Tennis-warehouse issue as I can't even recall the last time I had to log into this site. I've been logged in continuously for months.