private void frmZhiMa_MouseLeave(object sender, EventArgs e)
{
    if (!this.ClientRectangle.Contains(this.PointToClient(Cursor.Position)))  //<--
    {
        if (this.Location.Y < 20)
        {
             this.Location = new Point(this.Location.X, -this.Size.Height + 5);
        }
    }
}

------解决方案--------------------
在TabControl 的MouseLeave里面一样的判断。
C# code

public FormTest()
        {
            InitializeComponent();
            tabControl1.MouseLeave += new EventHandler(tabControl1_MouseLeave);
        }

        void tabControl1_MouseLeave(object sender, EventArgs e)
        {
            if (!this.ClientRectangle.Contains(this.PointToClient(Cursor.Position)))
            {
                System.Console.WriteLine("move out tabControl1_MouseLeave");
            }
        }