It doesn't close. It's always running. The only way is to remove it from the BB. To do that you would need to delete the application from Options >Advanced Options >Applications. Highlight Blackberry Messenger and click the menu key and select "Delete."
Keep in mind that if you do this you can't get it back unless you have the BB OS package installed to your PC. You have to plug back in to the computer and run Desktop Manager/Application Loader to get it back on.