[whpalmer4]

It perhaps isn't obvious in "normal" use, but OmniFocus can have documents from multiple databases open simultaneously. The usual reasons you would do this would be restoring something from a backup, copying from another database, or looking at the archive of completed projects (if you use the archiving feature to keep your database trim). When you close the last window, you close the database document.

What's the problem with keeping the last window open? If it's the nerve center of your life, don't you need to see it? :-)