It could be a setting in your monitor. However, the Gnome Power Management Manual says this:
My monitor is broken and treats DPMS standby and off states as
'no-signal' which leaves the monitor powered on.
You have to change the DPMS suspend mode GNOME Power Manager uses.
Open gconf-editor, and then change the keys
to one of the modes that work, e.g. standby, suspend or off.
I found this by clicking on System -> Help and Support, then entering DPMS in a search box. It is not your exact question but the answer may be correct for your question.