To reproduce:
- Set the DropDownStyle to DropDownList
- Try to change the item with the mouse wheel (the popup should be closed).

Workaround:
void radDropDownList1_MouseWheel(object sender, MouseEventArgs e)
{
    if (e.Delta > 0)
    {
        radDropDownList1.SelectedIndex += 1;
    }
    else
    {
        radDropDownList1.SelectedIndex -= 1;
    }
}