WPF TextBox MenuItem lose focus when moving mouse

In my WPF application I want a menu item to have a text box. I have managed to do this using the following code:

<Menu Height="23" HorizontalAlignment="Stretch" Name="MainMenu" VerticalAlignment="Top">
    <MenuItem Header="File">
        <MenuItem Header="Exit" Click="menuItemExit_Click" />
    </MenuItem>
    <MenuItem Header="Settings">
        <MenuItem Header="Some setting" IsCheckable="True" />
        <Separator />
        <MenuItem>
            <MenuItem.Header>
                <Grid>
                    <Grid.ColumnDefinitions>
                        <ColumnDefinition Width="Auto" />
                        <ColumnDefinition />
                    </Grid.ColumnDefinitions>
                    <Label Content="Some value:" Margin="0,3,6,0" Padding="0" />
                    <TextBox Margin="0,0,0,6" Grid.Column="1" />
                </Grid>
            </MenuItem.Header>
        </MenuItem>
    </MenuItem>
</Menu>

This code displays the menu item like I expected but if I start typing some value into the text box and then move the mouse (not clicking) away from the text box menu item, the text box loses focus and I cannot continue typing until I click on the text box again. How can I achieve the same behaviour as a text box menu item in WinForms? That is, the text box only loses focus if the user clicks outside the text box or hits the tab key.

Thanks in advance.

As I wrote I am not sure how you use your menu control. But maybe this code snipped can help you or give you a hint:

<TextBox Margin="0,0,0,6" Grid.Column="1" PreviewLostKeyboardFocus="OnPreviewLostKeyboardFocus"/>

and the according method:

private void OnPreviewLostKeyboardFocus(object sender, KeyboardFocusChangedEventArgs e)
  {
     if (MainMenu.IsKeyboardFocusWithin)
     {
        e.Handled = true;
     }
  }