I'm assuming you have sealed beams; the low beam is an H4 style dual filament lamp; like two bulbs in one. The lo-beam part has gone out, the hi-beam part is still working.
If you look at the wiring, you will see two positive wires and one negative going to the lowbeam lamp; one positive is for the lo-beam hot, the other for the high-beam hot.
This is why sealed beams lows stay on when highs come on (h4 style lamps) but euro ellips lows go off when highs come on (H1 lamps), even though the relays are the same.