When clicking on the close button of the Windows desktop app the Bitwarden app is closed. That in itself is normally what a close button should do, but in this case there should be an option to minimize it to the tray instead (thus making the minimize and close button do the same).
If one really wanted to close the Bitwarden desktop app he could select “Exit” from the file menu (which unfortunately is missing) or “Exit” from the try menu.