No. Only some applications Quit when you close the last window that's open. Generally, those are applications that are not capable of having more than one window open at a time. Most, if not all, other applications that can do that will not quit when you close all the windows, 'cause, it's a Mac, not Windows.
You can also right-click on the corresponding icon in the Dock. A pop-up menu will appear; you can select Quit from that menu to close the application. This will be a normal quit, so if you need to save something, the application will remind you as it normally would with Command + Q.