Steps to reproduce:
1. Open the project from the attached file "1246110.zip"
2. In Hierarchy select the "Cube" GameObject
3. In the Inspector click the circle on the right of Element 0
4. Immediately click anywhere in the Select Material window(except the Close button)

Expected result: Window stays open
Actual result: Window closes

Reproducible with: 2018.4.23f1, 2019.3.14f1
Not reproducible with: 2020.1.0b9, 2020.2.0a12

Notes:
- You have to click on the opened window as fast as possible(less than 1-2 secs after it has opened)
- Sometimes it takes a few tries for it to reproduce
- Increasing the number of materials in the Select Material window seems to increase the chance of reproducing the issue.
- Also reproducible with other Asset picker windows(Physics material, Mesh, Select RenderPipelineAsset)