In windows, alt+F4 does not close cmd (As in: WindowsKey+R, cmd, Enter)
How different is the command window from a normal window?
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The command window uses those key combination for varies applications within the dos emulating window. If Alt-F4 closed the window, it may be impossible to use certain utilities. If you want a keyboard only fix just type
exit to quit.
On the other hand, if you are looking to have Alt+F4 close the console window, you can use the following AutoHotkey script:
#IfWinActive, ahk_class ConsoleWindowClass !F4::WinClose, A #IfWinActive
Alt+F4 sends the program with focus the
cmd program is either intentionally configured to ignore
WM_CLOSE messages, or possibly doesn't process any messages at all.