Check your BIOS settings for Hot Plug/Swap capability for the port it's connected to.
There have also been occurrences of this happening when the Intel Rapid Storage Technology software is installed.
If AHCI/Hot Swap is enabled in your bios, it will come up as a removable drive. Sometimes boards (mostly older ones) will automatically enable hot swap when AHCI is used, with no option to disable it.
After checking the User's Manual for your MoBo, it seems that Hot Plug capability is turned on when AHCI Mode is used, with no option to disable Hot Plugging when in AHCI Mode.