Hi,
there is always some project open, even if you have not done this intentionally. If no action was done, this is Untitled.heprj, initial not modified. And you can always close it (close by the way, close current initial and opens new initial

).
Maybe this has not too much sense, but this is not a bug

I would correct logic so, that if project is initial, to disable
Close Project command within next beta.
Best regards,
Alex.