The behavior you described is not expected. Normally, when you click off a cell showing a dropped combobox, the combobox closes. Attached is an example showing the default behavior.
The only things I can think of that would prevent the combobox from closing are 1) if you are clicking a cell which has its style.Enabled = false or 2) some exception is being raised that is interferring with the normal behavior as you click off the cell.
You should also comment out any grid event handlers you are using to see if any of these are affecting this behavior.
WindowsApplication14.zip