Why do we say that web services are stateless?
The concept of a web serivce is to model a RPC (Remote Procedure Call) aka a Function. Thus you should not need to use session. In addition, the idea of being stateless comes from the need to scale out web servers into a server farm and thus enable higher capacity.
However, the choice of using state is dependant upon the technology and the developer. There is nothing to prevent you from creating an ASP.Net Web Service and setting "EnableSession=True" in the method definition.
This can be useful in some basic authentication scenarios, i.e. home-grown forms authentication or to provide automatic correlation for short-lived "workflow"'s. (However I strongly urge you consider more modern techniques will provide a higher level of security and performance).