Use the YELLOW button.
There's no way to change it, and it probably isn't going to change because it's consistent with Mac standard behavior. On the Mac, if an application allows multiple windows (like Word, Photoshop, or Safari), the red button closes one window and leaves the program open.
But if an application only allows one window (like Apple Photos, Apple Image Capture, or Lightroom), clicking the red button closes the entire application. It might not be completely intuitive, but that's how Apple uses the red button. Lightroom uses one window, so the red button closes Lightroom.
One solution would be for Adobe to remove the red button so that the only way to quit Lightroom is from the File menu. If you want, you can suggest that at the Feedback site for Lightroom, where others who agree with you can add votes for the request.
Actually, normally, the RED X button on a Mac is not the Quit button but the "Close This Window" and "Leave this Program Running in the Background" button to Suck up memory and resources.
It's about time Mac apps, Programs, started actually closing down when you click the RED X button. When I used a Mac I wished all Programs did that.
As above use the YELLOW button or put LR on a separate Desktop (that is if OS X still has that option).