This just means your site is being indexed in search engines so you should be happy
I would recommend, if you feel they are taking too much bandwidth, to upload your sitemap to google, and ask for less crawling, or use some of these metatags:
Robots Meta Tag
<meta name=”ROBOT NAME” content=”ARGUMENTS” />
ROBOT NAME can be either “robots” for all robots
or the user-agent of a specific robot.
Arguments
noindex - Google, Yahoo, Live, Ask - Page Not Indexed
nofollow - Google, Yahoo, Live,Ask - All Links on Page Become No Followed
noarchive - Google, Yahoo, Live,Ask - Page Not Cached
noodp - Google, Yahoo, Live - Stops Description and Title Tag Overwrite by DMOZ (Only for Homepage)
noydir - Yahoo - Stops Description and Title Tag Overwrite by Yahoo Directory
nosnippet - Google - Stops Google from Generating Description Based on On-page Text
These are the 'good' robots

Google Search Googlebot/2.1 (
www.google.com/bot.html)
Google Search Googlebot/2.1 (
www.googlebot.com/bot.html)
Google Image Search Googlebot-Image/1.0
Google Image Search Googlebot-Image/1.0 (
www.googlebot.com/bot.html)
MSN Search msnbot/x.xx (
search.msn.com/msnbot.htm)
MSN Search MSNBOT/0.xx (
search.msn.com/msnbot.htm)
MSN Media Search Robot msnbot-media/1.0 (+
search.msn.com/msnbot.htm)
Windows Live Product Search msnbot-Products/1.0 (+
search.msn.com/msnbot.htm)
Microsoft Search for Mobiles MSNBOT_Mobile MSMOBOT Mozilla/2.0 (compatible; MSIE 4.02; Windows CE; Default)
Alexa / The Internet Archive ia_archiver
Alexa / The Internet Archive ia_archiver-web.archive.org
Alexa / The Internet Archive ia_archiver/1.6
Yahoo Blog Search Yahoo-Blogs/v3.9 (compatible; Mozilla 4.0; MSIE 5.5;
help.yahoo.com/help/us/ysearch/crawling/
crawling-02.html )
Yahoo Multimedia Search Yahoo-MMAudVid/1.0 (mms dash mmaudvidcrawler dash support at yahoo dash inc dot com)
Yahoo Product Search YahooSeeker/1.0 (compatible; Mozilla 4.0; MSIE 5.5;
help.yahoo.com/help/us/shop/merchant/)
Yahoo Product Search YahooSeeker/1.0 (compatible; Mozilla 4.0; MSIE 5.5;
search.yahoo.com/yahooseeker.html)
Yahoo Product Search YahooSeeker/1.1 (compatible; Mozilla 4.0; MSIE 5.5;
help.yahoo.com/help/us/shop/merchant/)
Ask/Teoma Search Mozilla/2.0 (compatible; Ask Jeeves)
Ask/Teoma Search Mozilla/2.0 (compatible; Ask Jeeves/Teoma)
Ask/Teoma Search Mozilla/2.0 (compatible; Ask Jeeves/Teoma;
about.ask.com/en/docs/about/webmasters.shtml)