Why Exit Application Intend to Close?

When we hit the cross button left top on every window this will not stop the process of that window but if we Exit the window mostly found last in the file tab the whole application will be permanently stop with the whole background processes.

Like we close messenger by hitting the cross button but still the messenger has been running the background and will be appeared when someone sent you anything. You must have to exit the application to close all the process of the related application.