Close context menu when mouse leaves

Simple question - MouseLeave event doesn't get called when mouse cursor leaves ContextMenu, why is it so? I would like to close ContextMenu when mouse cursor has left it. Here is little sample:

<Button Content="Right-click me!" VerticalAlignment="Center" HorizontalAlignment="Center">
        <Button.ContextMenu>
            <ContextMenu MouseLeave="ContextMenu_MouseLeave">
                <MenuItem Header="Menu item 1" />
                <MenuItem Header="Menu item 2" />
                <Separator />
                <MenuItem Header="Menu item 3" />
            </ContextMenu>
        </Button.ContextMenu>
    </Button>