Fields created by a Feature generated module remains after disabling the module In my-site-com I created a new feature to show the component: fields , then I added some fields, I download the feature as a module called my-feature-module, then I saved and enabled this module in other drupal installation my-site-2.com. 

I get all the fields properly. So far so good.

Now I disabled the module my-feature-module in my-site-2.com and the problem is that the fields are not removed, they remain there. Is this normal? I mean, expected the fields to disappeared if I disable the module.

I make sure I cleared all caches and updated database, just in case it was a cache problem, but problem still persist.
Yes, this is normal. Some configuration items such as views can be implemented purely as code and some such as fields require database updates. Items in the former category will be removed when you disable a feature, those in the latter category will not. This is not necessarily a good thing but once you understand it, at least you know how to deal with it (manual removal of items).