ALT+DRAG (duplicating) keeps material from pervious static mesh when I change to another static mesh

Usually when I ALT+Drag to duplicate a static mesh and then switch the static mesh with another static mesh, it changes the static mesh along with the original material that was assigned to that new static mesh.

But for some reason when I do ALT+Drag to duplicate and then proceed to change the static mesh, the new static mesh changes but it keeps the material that was on previous mesh. This never happened before.

For example:

I duplicate Stone Wall and switch the static mesh to a Wooden Door. What usually happened was Static mesh changed to Wooden Door along with the Wooden door texture.
In this new case Static mesh changed but it kept the Stone Wall texture. In short, the static mesh changed, material stayed the same.

I tested it, it does not happen on all meshes, some work, some don’t. I wanna figure out why it does that. It’s not a huge deal but it does lower the productivity a bit.
Maybe it’s because some assets are in folder?
Anyone got issues like that?