Were you checking continuity with the socket/wire still powered up? That will confuse an ohmmeter 100% of the time (and, in many cases, can damage it, at least if the applied voltage is sufficiently high).
If the other clearance and tail lights are connected to the same circuit and some or all are incandescent lights, there would be some continuity to ground through them. It wouldn't be precisely 0 ohms, but it would be a comparatively low resistance, probably less than 10 ohms.
If everything is working properly, I would not worry about things in this case.