I am currently migrating a number of attached behaviours I have created to Blend Behaviours so that they support drag and drop within Expression Blend. I have noticed that a
Edit: dain is correct you can still bind to the DataContext which is created artificially, how often have you seen people bind to a SolidColorBrush.Color? It also works even though SolidColorBrush inherits from DependencyObject and hence has no DataContext.
See this blog post on the inheritance context.
The thing is that since the behaviours are attached, they do not appear in the logical tree and hence would not inherit a DataContext anyway.