screen does not go to sleep when shut while being connected to power and a external screen but as soon as i unplug power computer goes to sleep

hello i have a very annoying problem. my macbook air is connected to an external moniter which is awesome. while being connected to both external moniter and power i am able to shut my laptop and just work off of my moniter with keyboard and trackpab but as soon as i disconnect my power the computer automatically goes to sleep which ***** as i dont like my computer being connected to the power all the time. any answer guys?