Asking to re-authenticate when trying to use OneNote from Office365- IE



I have successfully login to  O365 and clicked on OneNote then it's asking me to re-enter my credentials. 

But when I tried in Chrome it won't asked me to re-authenticate to use OneNote when I already authenticated for O365.

Can someone please tell me what type of authentication IE using compare to Chrome. 

FYI- When I added as a trusted site in IE it won't requested re-authentication.