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There is no way to force it. Illustrator simply does not remember hte collapse state of layers. Lord knows, I wish it would.
I've files 2 or 3 feature requests for this.... file yours too. The more Adobe gets the more likely it is to happen.
Here the same problem, I will also submit this, or is it fixed in CS5?
Same issue in CS 5 and many previous versions.
To ease it you can put all your layers into one master layer. After saving and reopening your file, Alt/Option Click the triangle on the left hand side of the master layer item in order to collapse or expand all sublayers inside the master layer.
This issue is fixed in 17.1 update released for Illustrator CC