Why does an each closure over an empty collection run at least once?

I have a function that downloads files from a web server that is sometimes fed an empty collection. In the function I call each on that collection and what I would expect to happen is that the function just exits with the each closure not being run at all. The problem is that it does get run with an empty filename parameter and the creation of the FileOutputStream goes boom when it is fed a directory instead of a file.

def get(String baseUrl, List files, String targetDir) {
    files.each { filename ->
    // Goes BOOM on next line
    def fos = new FileOutputStream(targetDir + File.separator + filename)
    ...
}

Why does Groovy behave like this and what should I do instead?