Sorry, but your problem does not imply a bug in PHP itself.  For a
list of more appropriate places to ask for help using PHP, please
visit http://www.php.net/support.php as this bug system is not the
appropriate forum for asking support questions.  Due to the volume
of reports we can not explain in detail here why your report is not
a bug.  The support channels will be able to provide an explanation
for you.

Thank you for your interest in PHP.

Memory gets freed at the end the script.

Exactly, memory is freed in the end of script, but there is no way to free it in the runtime - and it's a disaster for highly loaded daemons (yes, I write daemons in PHP).
Or are you trying to tell me it's not a bug?

This is not a bug... PHP caches some internal things. If you run this script you'll see it only "leaks" once... but it's just a cached allocation:

<?php
    echo memory_get_usage(), "\n";

    for ($i = 0; $i < 100; ++$i) {
        explode(' ', 'blah foo bar');
        echo memory_get_usage(), "\n";
    }
?>

Hmm... indeed in this example it happens only once, but it did leak in my daemon, so I tried to reproduce that code.
And it looks like it happens only when there are 8 or more separators in the string:

<?php
    echo memory_get_usage(), "\n";

    for ($i = 0; $i < 20; ++$i) {
        explode('.', '........');
        echo memory_get_usage(), "\n";
    }
?>

and there it goes...

41008
41816
41880
41944
42008
...

try that with 7 dots and it will work fine!

41016
41704
41704
41704
...

don't say it isn't a bug either

If you make a larger loop you will see it stops increasing at some point. Please, leave this matter closed as there is no bug.