kilgoretrout gave you the answer.
You need to look closely at your gedit window when it has a file open.
On the line below "Open" "Save" etc there is a little tab with the name of your file. Try opening another file - it'll have a little tab as well.
On those tabs is an X Clicking it closes the file not gedit.
Edit: If you want to do this from the command line (close one tabbed file in gedit, leaving the others open) I do not think you can do this, but why would you want to?
Last edited by tredegar; 04-19-2011 at 11:07 AM.