Hello, Michael,

The ContextMenu has built-in keyboard navigation that is enabled by default:

https://docs.telerik.com/kendo-ui/controls/menu/contextmenu/accessibility/keyboard-navigation#keyboard-navigation 

You can close the ContextMenu via the keyboard by either selecting an item(Enter key) or exiting without making a selection(Esc key).

Nevertheless, if you wish to close the menu when it loses focus then you'd have to manually implement the logic as the menu is not meant to close on lost focus by design:

  $("#context-menu").on("keydown", (e) => {
    if(e.which === 9) {
      $("#context-menu").data("kendoContextMenu").close()
    }
  });

Dojo

https://dojo.telerik.com/@gdenchev/UlAsImoF 

I hope the above information will be helpful.

Best Regards,
Georgi Denchev
Progress Telerik