If I have some document editor open, and I close all the documents, what should happen?
Should it quit? Well if I wanted to quit, I would have done so.
Should it display some blank pane? Why? To let me know it's still running? The menu bar does that!
I say it should close that last window, and then I can open up another one and keep working.
In other words, I want to have a "menubar-only" app every time I'm done with all the windows I had open, and intend to open more. This happens frequently enough that I'm glad macOS works the way it does.