Hmm. Banzai does this. However, he has a thick, fuller coat than Buddy and Bella.
What may be warm or cool to us may not be for our pets. For instance, I am fine and dandy cuddling with Banzai but he gets HOT. And he'll move away after a short while and pant until he has cooled down. He'll lay in the sun for a short while and then move away and pant to cool down.
I don't know what kind of dog you have, but keep the above in mind. Was your dog laying in the sun? Are you sure the dog wasn't playing? What was the dog doing before she came to you panting?
Also, be sure that you have fresh water available at all times.
Good luck!