I believe this impression is very much due to the nature of the Bokeh.
As far as I can see, the scene is rendered with HDR and a nice bloom shader, resulting in all lights to have blurred bleeding. As the Bokeh filter is applied, the lights in the background get much sharper edges due to their brightness, and therefore may seem less blurred than the lights in the foreground.

But this always happens with a Bokeh filter afaik; Consider this reference picture:
http://media.pcgamer.com/files/2011/03/Unreal-Engine-3-Bokeh-depth-of-field.jpg
There is a light (or multiple lights) straight above the cigarette with a very sharp edge, much sharper than for example the purple-ish light in the middle of the mostright third of the picture, even though the latter is a tiny bit closer to the camera than the former.