External screen doesn't go into standby when putting MacBook Pro into sleep

I'm using a new MacBook Pro with an external monitor (DELL P2411H) through a Mini Displayport to DVI adapter.

When putting the Macbook into sleepmode, the external screen goes into standby but immediately wakes up, then goes back into standby and wakes up ... this cycle doesn't stop. The only option is to manually push the powerbutton on the display.

I'm having this issue too when using a MacBook Pro 13", so it's not a single issue.