When you close a Safari window that has multiple tabs open, you'll get a warning asking you if you really want to do this. If you don't want to get this warning any more, you can check the box in the panel that tells Safari to skip this check in the future.

But if you want to keep the warning just in case, but you know that "this time" you want to close Safari with multiple tabs open, there is a shortcut that will let you skip the warning. Before you click on the close button for Safari, hold down the Option key. If you do this, the check/warning will be skipped for this time only.