I think you can get the form rectangle, and check if the click it's inside the rectangle, if not just close it...
Sample:
vb.net Code:
Public Class Form1
Private WithEvents tmr As New Timer
Private Sub Form2_Load(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Load
With tmr
.Interval = 100
.Start()
End With
End Sub
Private Sub tmr_Tick(ByVal sender As Object, ByVal e As System.EventArgs) Handles tmr.Tick
Dim ptIni As Point = Me.PointToScreen(New Point(0, 0))
Dim ptTam As Point = Me.PointToScreen(New Point(Me.Size))
If MouseButtons = Windows.Forms.MouseButtons.Left Then
Dim rec As New Rectangle(ptIni.X, ptIni.Y, ptTam.X, ptTam.Y)
If Not rec.Contains(MousePosition) Then
Me.Close()
End If
End If
End Sub
End Class