Start up Failure

Hi all,
I have just built a computer and it seem to be working fine in all aspects except for a start up problem. When I press the power button the computer starts up (well the fans do, I can see them thought the cover 'Thermaltake M9 case' with blue LED fans) and then everything stops immediately for about 3 - 6 seconds before the computer stats up again. once that's done the computer runs normally...I have done burn tests, benchmarks and have been monitoring the temperatures of the pc with normal use for about 2 days now with no problems at all. However I did noticed that this odd incident only happens when I turn off the power supply (Thermaltake EVO blue 650W ) from the back switch or disconnect the power cable from the plug. If I left the power cable plugged in then the computer stats up normally with no problem at all. I am not sure if this is some in-built feature of the power supply.., but this is really starting to worry me since this is my first computer build and I would like to use this pc for a least couple of years. If anyone knows anything about this problem or have encountered it before please let me know. thank you