Because what happens instead of closing the window is that you are, in effect, saying "It's OK to upgrade my PC to Windows 10 when I least expect it and even if I don't want it."
Whether you're on Windows, Mac, or Linux, the close button on the window border is normally interpreted as "close", and is expected to cancel or negate the current action.
While the GWX.exe, the "Get Windows X 10 " program, does indeed close when you hit that button, it doesn't cancel or reject the action it proposes.
With just around two months left before Windows 10 ceases to become a free upgrade, Microsoft has started to sneakily schedule updates behind users' backs.
The urgency in its efforts is due to the fact that users are less likely to upgrade when they need to pay for it.