How to fix IntelliJ Idea not closing tabs by Ctrl+F4?

Looks like xfce uses Ctrl+F4 as global shortcut that gets captured before it's propagated to IntelliJ. See this page for how to change shortcuts.

Alternatively you can also change the keybindings in IntelliJ. Use 'File|Settings' and got to 'Keymap' in the settings window. The 'close' action is bound to Ctrl+F4