The folks over at TUAW have an interesting theory (even though the headline and description are backwards): basically, the proximity sensor is not sensitive enough, and adjusting the iPhone such that the proximity led shines into the ear canal may cause the proximity sensor to not detect your head. However, in order this for to be true, the proximity sensor must not be all that sensitive (your head has to be close before it activates).
So, here's a test for you that have iPhone 4's (sorry, I don't have one): call a friend, and then test your proximity sensor. Using your hand, how close does your hand have to be before the screen turns off? On my 3GS, my hand has to be a bit less than 1 1/2 inches away. If the distance is 1/2 to 3/4's inch on the iPhone 4, then I can imagine that might be the cause.