Do you have something focusable after the RadTextBox? If not, then after tabbing out of it, the cursor goes to the address bar and cannot be returned back to the control, e.g. in IE.
If this is your scenario, add some hyperlink or textbox after the RadTextBox and move it out of sight with CSS styles.
If the above information is not applicable, send us a runnable page, as I can't reproduce the problem on a simple page.
the Telerik team