This was said by others, but this comes very much from a longstanding difference in style between Windows and MacOS, that difference being window versus application centric.
Because the MacOS has a universal menu bar (up at the top), it's not necessary for an application to have any windows open/visible for you to access it. And, to save computing resources when you're closing things, Mac applications have not traditionally closed themselves unless expressly instructed to do so (selecting "Quit" from the menu, or doing command-Q). Newer applications that only have one window (such as System Prefs or Address Book) have modified this to quit themselves when that window is closed. This system, to me, makes intuitive sense, although many new users--especially those coming from Windows--get confused.
Windows, in contrast, attaches its menu bar to the top of all application windows, so if there are no windows open there is by definition no way to tell the program to do anything. Hence, each new window is treated more or less like a separate instance of the program.
Of course, there are also half-way applications on Windows that try to essentially work the Mac style in; anything that opens a big "workspace" window (classic Photoshop or CAD apps are a good example), into which document windows appear, essentially behave like a Mac application--you maximize the workspace window, the menu bar always shows up at the top of the screen, and you have document windows within. It also, usually, covers up the desktop, which can be good or bad, depending on preference.
The big issue with the Windows way is that if you don't really want to close the application--because it takes a long time to re-open, for example--there's no clean way of doing it. The other problem is that applications don't always close immediately when you close all windows--there's usually a delay of a few seconds, and particularly if something goes wrong, you can end up with a headless, invisible application that is still running (which you'd need Task Manager to even see).
The root of this difference--the location of the menu bar--is why Windows users often use applications in fullscreen--so the menu bar is consistently in the same place at the top of the screen. I'll add that having the menu bar attached to windows is, frankly, a horrible design paradigm, because it makes mouse access to menus MUCH more awkward, but Apple successfully argued in court back in the '90s ('80s?) that MS couldn't copy that feature, which is why it is the way it is.
Bottom line, though, is generally don't worry about it--if you want to quit stuff, use command-Q or the menu, or just leave things running, which usually works fine.
Whoever you saw doing that in Windows must be retarded, it's always a waste of natural resources as long as those people are still alive.
I do rather hope that was tongue in cheek, rather than serious. If it wasn't, I'm not so sure you should be pointing fingers about wasting natural resources.
Not to say that that's necessarily the most efficient way, but Windows is practically designed to get you to use that workflow, and if it functions for someone not particularly comfortable with the way the computer works, it's fine.
