This isn't a problem at all. The behaviour of the camera is normal. When the aperture is adjusted on the camera (eiter automatically or manually) the aperture of the lens wont change untill the moment when you take the shot. The reason to design the camera in this way is to maximize the available light (and microcontrast between out-of-focus and in focus state) for the auto-focus sensors and for your eye looking into the viewfinder.
When you change the aperture of the lens the light metering system of the camera registers this setting and affects the meter in the viewfinder to what it would look like when the aperture is stopped down. when you take the photo the mirror moves out of the way and the aperture is adjusted to the chosen size and when the shutter closes again after the shot the aperture returns to its wide open state again. This means that if you look through the viewfinder during the entire exposure you won't even notice the aperture change (except from the sound of it). Look into the lens when you take a shot (with a small aperture) and see for yourself.
When the lens is taken of the camera a spring mechanism retracts the aperture to the setting chosen on the lens itself. It has a manual aperture control ring and I guess you've set this to a quite small one.