[Design]-Pasting multiple objects creates a new group in XD

By default:

If you are selecting coping and pasting with ctrl+c or ctrl+V Adobe xd creates new group.

If you select object and use ALT for draging and copying Adobe xd will retain it in single layers. 

You can select an object or group of objects, copy them (Ctrl + C or Cmd + C), and paste them (Ctrl + V or Cmd + V) onto multiple artboards. When you paste them, XD intelligently places them in the same X and Y location where the original object was located. This feature is especially useful while copying headers or footers across multiple artboards.

Please for more info read https://helpx.adobe.com/xd/help/group-lock-duplicate-objects.html#Groupobjects