DateTimePicker - Drops down, doesn't disappear after selection is made

I have a DateTimePicker on a panel in dmComboBox mode.  When I click on the
control and makes a selection from the drop down the drop down stays down
and doesn't register further selections.  Why doesn't it go away?

I've tried everything I can think of to make it go away, but to no avail.
What is going on?!