There are two variations encountered (see below for a different perspective):

• Cloning an issue part of an already finished sprint yields the clone to be considered part of that finished sprint, i.e. the clone shows the originating sprint within Completed Sprints in the Agile panel, which is obviously rather irritating already.
  • Furthermore it is included in the sprint retrospective report as well of course, which actually screws up reporting with wrong data, thus can be considered a major bug in this regard.

• Cloning an issue part of an active sprint yields the clone to be considered part of that active sprint as well, i.e. the clone ends up in the To Do column on the Rapid Board, which I consider not to be the proper default at least (see below).
  • It is definitely a bug in the current GreenHopper version though, insofar I'm unable to edit the clone in this regard, i.e. it is impossible to remove an issue from a sprint (which would be a helpful option to have anyway of course, if only to fix accidental additions).

However, a different viewpoint and/or use case might ask for exactly this behavior, which would ask for a respective option 'Clone Sprint' similar to 'Clone Links'. Options are best avoided of course, as long as a reasonable default is provided; in this regard I 'd consider it more appropriate to not include the sprint in the clone operation, because it is pretty easy to move the issue into the sprint later on (usually there are several edits to be done anyway).