By definition, <On Blur> is executed whenever the display containing it loses focus, regardless of the reason for the focus being lost.
Is the problem really with <On Blur> being fired, or are you by any chance, using a <Validation Message> element to display the validation error. If you are using validation messages, then regular buttons do not (by default) execute if any <Validation Message> element in the current display has content, due to the html.validate property on the button, which is true by default.Changing it to false in the case of the Cancel button will allow it to execute nonetheless. See this post for more details.
If the above does not address your issue, I suggest you provide more details, such as attaching a project demonsrating the issue to a post.
For best results, use the Firefox browser..