Welcome to LQ.
This is how it is supposed to work.
That said you can change this behavior : go to Edit > Preferences > Tabs in the menu, then click "Warn me when closing multiple tabs"
PS And remember that you can close each tab individually : simply click the cross for that tab, not the one for the whole window.
Last edited by Didier Spaier; 02-16-2012 at 03:30 PM.