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I found this behaviour today and thought it was weird so asked the question on SO here http://stackoverflow.com/questions/12632894/why-doesnt-getattr-work-with-exit/12632972#12632972
basically if I attributes are returned dynamically, they seem to get overlooked by the code that runs the with statements.
>>> class FileHolder(object):
... def __init__(self,*args,**kwargs):
... self.f= file(*args,**kwargs)
... def __getattr__(self,item):
... return getattr(self.f,item)
...
>>> a= FileHolder("a","w")
>>> a.write
<built-in method write of file object at 0x018D75F8>
>>> with a as f:
... print f
...
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
AttributeError: __exit__
>>> a.__exit__
<built-in method __exit__ of file object at 0x018D75F8>

I got pointed to an explanation in the docs! http://docs.python.org/reference/datamodel.html#special-method-lookup-for-new-style-classes
It was confusing, though :)