Up until now I never stumbled on this problem but it seems to appear after updating to Unity 5.
When I drag and drop sprites from the hierarchy tree into the editor, the animation dialog doesn’t pop up and my animation files are automatically saved in the sprites directory. Where is the option where I can select the directory and name of the animation that I’m creating?
Is this a feature or a bug?
Am I the only one? 
I’m having the same problem as you!
Hmm, I starting to get the impression that this is a feature instead of a bug.
It was so fast creating animations like that, now I have to drop a single sprites and rhen add to it new animation. Doing it this way brings up the dialog window…
I’m doing the same way as before. But after creating i just drag de animation file to the folder that i want.
hi, anyone find the solution to this problem? It’s quite annoying if the animation is automatically created.