What version of Illustrator are you using? Did you choose "Original Size" in the Illustrator Import options?
If you are using an older version of Illustrator, it may not give you a choice and scale it automatically. The page size is pretty limited (like 200 inches or so), so if there was another object or even a single point a large distance away from the object you are working on, it would try to fit everything in to limit of the page size. If I recall, I think even having a single object a distance from the origin greater than the page size limit would result in scaling.
If you are still having difficulty, upload the DXF and I'll look at it.