When you start Audacity there is no file, right? But once you load one and close it, Audacity closes as well. It would be more useful that close would close only the file not the program (in case of the last file, if there are more instances they should be equivalent).
Go to Edit>Preferences>Interface and uncheck “Quit Audacity upon closing last window” - and that should fix this for you
Thank you, somehow I missed this option.