All temp guns (to my knowledge) do this and its nothing to worry about. Typically the gun comes with a piece of paper that will tell you how many degrees to add to the reading depending on your distance from the surface. In fact, this exact chart came printed on the side of my temp gun from Sears.
My suggestion is that you measure a surface from point-blank. Step it back two feet (or what ever your typical distance would be) and take the temp again. Finally, all you do is find the difference and from now on add that to your two foot readings.
To answer your question in short, point-blank (6 inches or less) will offer the most accurate reading.