Hey BLK
First off, what bike to you have? Some have sliding pin, 2 piston calipers (B6), some have opposed 6 piston (B12) and some have opposed 4 piston (W/C B12.5 & B6.5).
In addition to Red01's comment on rebuilding calipers, for the B6, you can also clean and lube the sliding pin assembly.
Either way, the rubber seal on the caliper piston should try to pull it back, away from the disc, when the brake pressure is released. If it's not, then the caliper needs a rebuild, or at least a dismantle and clean.
For any types, look for any slightly bent parts, or other damage.