Do you mean when you press the altitude HOLD button (under the Altitude Indicator)?
Or do you mean it does not hold the altitude set in the Altitude Indicator when descending either using VNAV or VS?

I often, when using VNAV or VS to descend, press the HOLD button to maintain altitude until capturing the GS. My 757 will HOLD the altitude until it does capture the GS when I use it that way.

Mark