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Native behavior of menu items are that when you immediately click them they show up. In other words on DOWN, not on UP.
Also, they should go away on UP if you hold down the mouse button on the initial click.
CLICKDOWN -> show menu -> CLICKUP -> still showing menu
CLICKDOWN -> show menu -> STILLHOLDING -> CLICKUP -> menu goes away
Try this on many of the system menu items or other popular apps like dropbox or fantastical.