Presumably your program uses a loop of some kind. One easy way is to check at the start of the loop for the existence of the figure itself, and break out of the loop if the figure does not exist any more. You can use ishghandle to check specifically for graphics handles:
figH = figure;
for k = 1:frames
if ~ishghandle(figH)
break
end
...
end
Note that this may still result in some errors if the figure is closed at some time during the loop but the code still tries to access the graphics.
Another way is to rely on callbacks. This means integrating the code quite closely with the figure/axes, so that the loop itself is part of a callback. This will complete the current callback before closing the window, so errors do not occur. For an example of this, see my FEX submssion cubehelix_view, and try the demo button:
