I would have added a comment, but I can't format the solution.
The feedkeys solution is great, with the small hitch that it ALWAYS goes back to normal mode, regardless of what other mode you were in. I don't want to cancel command line mode (for drag&drop files in Windows) and I don't need to cancel visual mode, I just wanted to cancel insert mode.
The solution, then, appears as:
autocmd FocusLost * call PopOutOfInsertMode()
function! PopOutOfInsertMode()
if v:insertmode
feedkeys("\<C-\>\<C-n>")
endif
endfunction
In other words, only pop out if you're in an insert mode. This could be further refined, since v:insertmode will be 'i' in "normal insert", 'r' in Replace mode, and 'v' in Virtual Replace mode. For me, popping out regardless is good, but the user may want to edit to suit.