You can set the 'DeleteFcn' of a figure to be any function handle you want so you can put 'Close All' in this if you want or keep track of a bunch of figure handles that it should close.
It's hard to think of a scenario in which automatically closing any figure which happens to be open, when you close one, is a good idea, rather than having kept track of specific figure handles in an array, which you want to be closed in such a case.
