Macbook won't sleep with VGA monitor connected

My macbook pro will not sleep with a VGA monitor connected, via a MiniDisplayport to VGA adapter. When I close the lid, all of the windows shift over to the second screen, and the light on the macbook continues to stay solid (rather than pulsing like it usually does when the monitor is not plugged in).

I can unplug it, but it is a nuisance and I'm wondering if there's a way to fix it.