Thanks for the feedback, it indeed would make sense to prevent the automatic switching to the project when invoking the menu. Unfortunately it’s technically a bit less trivial, but we’ll try to make it work in a future update.
Having said that, note that there are some other tricks to make your life easier, for instance if you use quickly open or the click the category name at the top of the current project (to show a similar outline as the sidebar, you can even type to filter it down), you can open any of these items (like a project or note you want to open in a separate window) by clicking it while holding the alt/option key. This will ensure it will keep the main window where it is.
In fact this already works even win the sidebar, just alt/option click the project to open it in a new window, no need to even open the menu.
And on iPadOS you can simply tap and hold a project in the sidebar until it starts to float, then drag it into a new space on the side of the screen.