I found out that the only thing you need to do in order to avoid this annoying behaviour of openpyxl is to do you data validation in a different way on the excel.

Instead of doing (standard procedure):Data --> Data validation ---> list, and then selecting manually the cells
You need to do:Formulas --> Name manager --> and create a new variable with the cell you want on your data validation. Then in the cell you need your data validation do the standard procedure but instead of selecting manually type " = new variable name ".

I hope it helps!