That option is not listed in the dropdown for this widget.
Interactive objects cannot currently be added to Captivate master slides. So you cannot do this with a normal button or click box either.
There is a Close button that can be added to the playback bar, but whether or not it will close your window depends on a number of factors.
As Rod told, the button widget is a static widget with limited functionalities, but I like it nevertheless because you can use it on master slides/question slides. Just an idea, didn't try it out: