Put Macbook Pro to sleep with HDMI connected to External Monitor?
Your MacBook Pro can't go to sleep completely as you're using it, however, since you're using it in  "Clamshell mode" (with the lid shut) the internal display will have been powered down (you can tell as the logo on the lid will no longer be lit).

If you want to put the machine to sleep while it's in Clamshell mode, just press Ctrl-Eject on the keyboard you're using and the prompt for putting it to sleep will appear (the specific key sequence is Ctrl-Eject followed by 'S').  You can also put it to sleep via the Apple menu in the top left.