The only thing I can find that might be a factor (I haven't got CS4 to try) is this brief mention in a PDF I found.
"To Zoom in on an image to check focus, click the Loupe tool icon in the lower right or simply click directly in the image. Note, if you prefer to use a keyboard modifier to access the Loupe, choose Preferences > General “Cmd/Ctrl click opens the loop when Previewing or Reviewing”."
So does Cmd/Ctrl clicking close it?, just a thought.