If the crowd were on my side then, yea - I'd stay and run into someone elses set a little. If the support wasn't there though, then it's probably better to keep your dignity and leave gracefully. On top of that, if you're an opening act, then the focus really shouldn't be on you at all - if you can't realise that, then I don't believe you have much chance of staying said opening act for much longer...
It's about mutual respect I guess - you've gotta have respect for the people after you, enough to give them their moment, having said that, they need to respect you enough to say "Hey, the crowds into this, leave them there another few songs..."
Just my take on things