When the "share a link to this question" popup is displayed, pressing the Esc button closes it.
Clicking on a "regular" place on the page should have the same effect.
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I definitely agree — current behavior is non-intuitive as the policy in most applications which have some form of pop-up window (and this is definitely in that class of UI devices), will either move the pop-up to the background if a larger window gains focus or it will refuse to let the user continue until the window has been acknowledged.
This is not something which demands mandatory focus (such as an alert or a prompt), it follows that it should hide (or, in this case, go away) when it loses focus.
Besides, that's how Facebook pictures work, and if it is good enough for Facebook, it is good enough for here! (::ducks to avoid the inevitable thrown shoe::)