Extending ContextMenu

I would like to extend ContextMenu from System.Windows.Forms namespace to have some event indicating that the menu has been closed e.g. user has selected some item or just clicked somewhere and the system has closed the menu. I know ContextMenuStrip has such events but I don开发者_StackOverflow't want to use it.

I though ContextMenu have WndProc method like other controls which I would use to check for WM_MENUSELECT message but there isn't so what I should do to check system messages for my ContextMenu?

What's wrong with the events provided by the contextmenustrip itself?