It is indeed. With
CMFCore, an object can participate in more than a single workflow. As a consequence, each workflow must have its own state (and other workflow related variables). If you assign a new workflow to an object, the corresponding state is "initial" -- independent from the state in other workflows.
I have seen (in Plone 4) a view which allows you to change an object from one workflow to another and control the corresponding state mapping at least for simple cases. Unfortunately, it was a long time ago -- and I have forgotten the details. But likely, I was guided by the plone control panel to this view.
Should you find nothing (or nothing with the necessary amount of control), you can always write a script which visits all affected objects, determines the state for the object in the new workflow from that in the old one (i.e. map the state appropriately) and then set the state for the new workflow.