Messages: How to Close Chat on all devices

I like the new Messages on the Mac. I also like the fact that if I change devices I see the on going message there. However, when I am done with a particular chat and close it I would prefer it close on all of my devices. I have Mac Mini, Mac Air, iPhone and iPad. Obvious a pain to Close the Chat Session on all 4 devices.

I also had this problem with MSN Messenger while you are logged in from multiple devices.

Am I missing something?