That is correct, because there is nothing left to hide, as everything else is already hidden.
Let's say you have three applications open, Finder, Safari and Mail.
You hide Mail and Safari. Now Finder is the only visible application. When you want to hide Finder, what application should be visible then? Safari or Mail? If you have too many Finder windows open, you can also use Spaces or the Exposé > Show Desktop command or close all windows with CMD+OPTION+W.