They can also press the escape key to close the dropdown.
If you want to close it if the user clicks the grid outside the area occupied by cells or scrollbars, you can listed for the grid.Click event.
private void gridControl1_Click(object sender, EventArgs e)
{
this.gridControl1.CurrentCell.CloseDropDown(Syncfusion.Windows.Forms.PopupCloseType.Canceled);
}