I've done that several times. I just did it again, and the Express light stayed green while I was disconnected, although no device would connect. Now the Express just flashes amber, and if I go to Airport utility, it shows that I have internet (from my cable), but when I click on the Express symbol in Utility, it says "No DNS servers." I have my cable hooked into the WAN port on the Express, and the other port goes to my Mac, but I have no wireless internet, despite seeing the network name in the menu bar.
If you intend to connect to your Express wirelessly, it is best to configure it that way to avoid confusion.
I suggest you "hard reset" the Express and follow the prompts to configure it from its initial condition. Detach your Mac's Ethernet cable from the Express first.
Be sure you perform the "hard reset" correctly. From Resetting an AirPort Base Station or Time Capsule FAQ
- Press and hold the reset button with a pen or pencil until you see the status light (LED) start to flash amber rapidly, which should occur after about five seconds.
- Release the button, and the AirPort Base Station or Time Capsule will hard reset.
After you do that you should see this in your Mac's menu bar:
Choose that and follow the prompts to configure it.