"Close" closes the image and removes its window. Closing an image is not undoable: once it is closed, everything is gone, including the undo history. If the image is not clean---that is, if you have changed it since the last time you saved it---then you will be asked to confirm that you really want to close it. Note that images are marked as clean when saved to a file even if the file format chosen does not preserve all information present in the image, so it is a good idea to think for a moment about what you are doing before closing an image. If there is the slightest possibility that you will regret it, it can't hurt to save a copy as an XCF file.