Right click on your main figure in GUIDE and select View Callbacks->CloseRequestFcn.
There is an example of what to do inside this function at:
if you search for CloseRequestFcn.
Most important is that you must call delete( gcf ) otherwise the figure will never close because you are over-riding default close behaviour.
Personally I don't use 'gcf', I get the figure handle explicitly, but that example uses 'gcf' so I guess it is fine.
