Do you mean with a (closed) nozzle at the end of the hose? If so, it's because there's still pressure built-up in the hose itself, and water will spray out of any opening it can find until that pressure bleeds off.
If the end of your hose is flowing freely, I can't imagine why water would be spraying out of the threaded connection at the spigot unless there were some sort of kink in the hose somewhere (but then you wouldn't expect water to be flowing out the other end). If the hose is open, then I wouldn't expect the pressure in the hose to be great enough to force water out of the threaded connection at the spigot.