|Because sometimes Excel thinks it knows what's best for you.|
Excel tries to help you by remembering the settings from the last time you used Data...Text to Columns.
Sometimes it will split the pasted data into columns because the last time you used that function you had it set for Delimited...Space.
You could try using ALT E S V.
Check out this list of pasting tips then scroll down to the bottom of the comments and read what Sam had to say on May 12, 2010.