Android (or cyanogen, or whatever your device runs) has to close the Mycelium app in order for it to lock.
Just because you don't see an app on the screen, doesn't mean it isn't running.
Different devices behave differently, in this respect. 

My phone's screen has a back button, a home button and a menu button.
My tablet's screen has a back button, a home button and a button that shows running apps.

It's easy to turn an app off on the tablet.  Touch the apps button and swipe an app or apps off the screen.
But with the phone, turning an app off isn't so straightforward.  Sometimes it requires going into settings and force stopping the app.  Google Maps in navigation mode is one example of this.  To make it stop talking I have to go into settings and force stop it.

You have to keep in mind that your mobile operating system cannot be relied upon to stop the app. 
Then you have the question:  under what conditions should the wallet close down on its own?