Are you sure it's just calculating? Most scales of that type measure body fat percentage by bioelectrical impedence (ie, shooting a small electrical charge up through your feet to measure how quickly the signal returns, which is then used to calculate body fat percentage).
If your weight was going down and your scale was just calculating, the body fat % reading would go down. Since it isn't, it indicates this is probably a bioelectrical impedence scale.
If you are losing weight, but body fat percentage is staying the same or going up, you may be losing muscle.
This link has a very good example with the graphs of how this would work. Exercise makes a big difference in which way that trend will go as you lose weight. Keep in mind, though, that these scales show trends over time, and will fluctuate regularly, so you won't see a downward trend every day (just like a scale).