The Close action terminates a running window and removes it from computer's memory. (Compare this with the Minimize action, whereby the window's state is merely changed but the window remains resident in memory.) If a window represents its associated application (such windows are called "main") then its closing will terminate the whole application including all its secondary windows.
Hint The Close action can be useful for those annoying popup windows (doesn't matter by which application they are produced) or for some windows that used rarely. The former kind of windows can be closed automatically just upon their appearance and the latter kind of windows can be closed automatically upon their deactivation.