Scud is correct. With any Gnutella client you're forming a huge "web" of connections between many different hosts (potentially thousands). When you close your program it make take some time for all those other hosts to realize your gone.

Another part of the problem is the retry many clients (esp BearShare) use can't tell if the host is just busy or has exited altogether. They'll retry a download every minute or so forever!

Again it's not really harmful and can happen any time you run a server or P2P app.