You can't intercept closing of the menu windows.
What you'd need to do is not to use the .Menu property, but reproduce the behaviour yourself. Behind the scenes WME creates a huge invisible button behind the window, so when you click outside the menu window, you actually press the invisible button, which closes the window.
To reproduce this yourself, your menu window would contain:
a) a full screen transparent window
b) a button covering the window
c) a second nested window - the actual action menu
The invisible window would stay at the same position, you'd only reposition the nested window to place the action menu. When the user clicks outside the action menu, he will press your invisible button, and then you can intercept the event and do whatever you need to do. Makes sense?