How to automatically close the quick fix window when leaving a file?

To properly close even multiple quickfix/location/help windows automatically when leaving file (:q, :wq, etc.) add following code to your .vimrc:

" s:NextNormalWindow() {{{2
function! s:NextNormalWindow() abort
    for i in range(1, winnr('$'))
        let buf = winbufnr(i)

        " skip unlisted buffers
        if !buflisted(buf)
            continue
        endif

        " skip temporary buffers with buftype set
        if getbufvar(buf, '&buftype') != ''
            continue
        endif

        " skip the preview window
        if getwinvar(i, '&previewwindow')
            continue
        endif

        " skip current window
        if i == winnr()
            continue
        endif

        return i
    endfor

    return -1
endfunction

" s:QuitIfOnlyWindow() {{{2
function! s:QuitIfOnlyWindow() abort
    let l:buftype = getbufvar(winbufnr(winnr()), "&buftype")
    if l:buftype != "quickfix" && l:buftype != "help"
        return
    endif

    " Check if there is more than one window
    if s:NextNormalWindow() == -1
        " Check if there is more than one tab page
        if tabpagenr('$') == 1
            " Before quitting Vim, delete the special buffer so that
            " the '0 mark is correctly set to the previous buffer.
            " Also disable autocmd on this command to avoid unnecessary
            " autocmd nesting.
            if winnr('$') == 1
                if has('autocmd')
                    noautocmd bdelete
                endif
            endif
            quit
        else
            " Note: workaround for the fact that in new tab the buftype is set
            " too late (and sticks during this WinEntry autocmd to the old -
            " potentially quickfix/help buftype - that would automatically
            " close the new tab and open the buffer in copen window instead
            " New tabpage has previous window set to 0
            if tabpagewinnr(tabpagenr(), '#') != 0
                let l:last_window = 0
                if winnr('$') == 1
                    let l:last_window = 1
                endif
                close
                if l:last_window == 1
                    " Note: workaround for the same bug, but w.r.t. Airline
                    " plugin (it needs to refresh buftype and status line after
                    " last special window autocmd close on a tab page
                    if exists(':AirlineRefresh')
                        execute "AirlineRefresh"
                    endif
                endif
            endif
        endif
    endif
endfunction

" autoclose last open location/quickfix/help windows on a tab
if has('autocmd')
    aug AutoCloseAllQF
        au!
        autocmd WinEnter * nested call s:QuitIfOnlyWindow()
    aug END
endif

This does not have problems with new tab opening from within quickfix window.

Add to your .vimrc file

aug QFClose
  au!
  au WinEnter * if winnr('$') == 1 && &buftype == "quickfix"|q|endif
aug END

Warning: this will close vim if the quickfix window is the only window visible (and only tab).

The command :qa will quit all open windows.