As a part of the copy process, the data is buffered into memory and then written to disk. Writing the data to disk takes time, but the software (nautilus) does not show the pending operation.
For details, see
Copy to USB memory stick really slow?
The time required to sync varies by file system on the flash drive and some people have experienced slow write times with NTFS. This seems to be an as of yet unidentifed kernel (ntfs driver).
Why is usb file transfer so slow in 12.10?
At any rate, you want to sync, or write the data from the buffer to the flash drive before you remove it. This principle is true with all OS. Use the eject feature or on the command line,