[bojan]

Constant current supply has only one thing constant, and that is output current.
Voltage at output will vary with load, according to formula:

V = Load * Current

Lower load (higher load resistance), higher voltage (because current should remain the same

So.. you are lucky you didn't destroy something with high voltage spike, that appeared after removing the load (LEDs), most likely there was an over-voltage protection somewhere that lowered the voltage.