Some cars do this, others don't. I have noticed both Fiesta and Territory do this, however my Mk I Focus leaves the low beams on at the same time. Flashing the lights in Territory and Fista gives you momentary brilliance while you hold the switch, but then goes back to low beam off when you click it properly.
For some background (but not an explanation) check out
http://en.wikipedia.org/wiki/Headlamp