I solved this by adding following function,
add_action('parent_file', 'keep_taxonomy_menu_open');
function keep_taxonomy_menu_open($parent_file) {
global $current_screen;
$taxonomy = $current_screen->taxonomy;
if ($taxonomy == 'directory_category')
$parent_file="directory";
return $parent_file;
}
If you are adding more taxonomies, just change if condition in above code like following
if ($taxonomy == 'directory_category' or $taxonomy=='tax2' or $taxonomy=='tax3)