Windows/Linux (with Chrome): By default, Google Chrome exits the entire program when you've closed the last tab. Chrome extension Last Tab Standing prevents this from happening by opening an empty new tab page when you close your last tab.
Or, more specifically, from the developer:
A common complaint with Google Chrome is that closing the only remaining tab will exit the browser. Some people prefer it this way; if you don't, you have your reasons. This extension automatically opens a new tab instead of allowing the browser to close normally. To exit the browser, simply close the new tab (or click the X button as usual).
Not much more to it than that. If you don't like the default behaviour — which I know is frustrating for some — Last Tab Standing is a nice fix.
Last Tab Standing is a free download, works wherever Chrome does.