I was able to reproduce the problem by adding just two lines of code (filterable: true, columnMenu: true) to the official Kendo Grid basic usage demo: http://dojo.telerik.com/iSEcU/2
Repeat following steps:
1. Click on column menu icon
2. Move mouse cursor to "Filter" menu button -> "Filter" sub menu opens
3. Move mouse cursor to one of the two filter text input fields without leaving the "Filter" sub menu area -> "Filter" sub menu closes immediately
Current work-around is to click at one of the drop down lists first or to use the tab key to navigate between the input fields.
However, this seems like a bug to me, which is very annoying to our users. How can this be fixed?