Then you didn't REALLY finish it, you just finished the main story. In one of the special episodes for Explorers of Sky, you play as Grovyle and Dusknoir and find out they end up being sent back and saved along with the player character. I believe the episode was "Into Darkness"? Forget the exact name.
I've played and fully completed (I.e. main story, all subsequent ministories, got all legendaries and unlocked all dungeons) Blue Rescue team and Explorers of Darkness, but then my DS broke before I could return to finish Explorers of Sky, so I've been doing it over on an emulator. :c