The Gemara explains that the point of the Menora is to be an Eidus that the Shechina is Shoreh among Klal Yisroel, through the fact that the Ner Maaravi stays lit until the next lighting. When the story of Chanuka happened, and they saw that it only went down an eighth, they understood that this would be a real Eidus, not just a Zecher of the Edus that was around during the first Beis Hamikdash.
This coupled with the fact that they had no other oil to use anyhow, they left it and it continued to burn.