Can you create a brand new, empty Project, save it and then exit?
Are you sure your version of Premiere is up to date?
Run Adobe Application Manager to check for updates,
or in Premiere: Help > Updates...
I get this as well, sporadically. Win7 64, 6.0.3.
If there's a cause and effect anywhere, I haven't discovered it. Sometimes it happens, sometimes it doesn't.
Thanks so much for taking an interest!
The program is only a couple months old. I am running the same version on 5 computers, and the others all close just fine. This one closed fine too until I cleared out the media cache files which, to my surprise, I discovered buried in the c drive and pushing my c drive into the red over-full zone. i don't see how anything I deleted in the media cache folder could have caused this, but the problem started at the same time.