I agree, the Past Continuous would make more sense in this case, e.g.:
I was finishing some work in the garden when Sue arrived, so I didn't hear her come in.
The Past Continuous is usually used when you are talking about a longer action that occurred in the past which was interrupted by a shorter term action. The longer term action is described using the Past Continuous, and the short term action is described using the Simple Past tense.
Your sentence is currently written in the Past Perfect Continuous. This tense usually used to describe how long an activity had been going on before it was interrupted by a shorter term, and usually important, activity. In its current form it does not indicate how long the activity (i.e., 'finishing some work in the garden') had been going on, so the use of the Past Perfect Continuous is not really justified. because I cannot imaging 'finishing some work in the garden' as being anything other than a short term activity, I have used a different verb in the following example which uses the Past Perfect Continuous:
I 'd been working all afternoon in the garden when Sue arrived, so I didn't hear her come in.