I'm only aware of this occuring if you use CMUCL, in which case you need to execute (mp::startup-idle-and-top-level-loops) before running your CLIM program due to an implementation quirk. This still isn't ideal, as (at least in my experience with various several year old versions of CMUCL) it introduces a noticable latency in event handling (such as menus becoming sluggish). My advice in this case is to use SBCL instead.
If in fact you are not using SBCL then this is a bug that ought to be investigated.