Apple - Stop Safari 9 window closing when only pinned tabs are left

If you watch the File menu, you can see ⌘W changes depending on the number of open tabs. If there are multiple, it's "Close Tab", if there is one (not counting the pinned), it's "Close Window".

There is a workaround! You can overwrite ⌘W to always execute "Close Tab".

Go to System Preferences > Keyboard > Shortcuts > App Shortcuts

Add a Shortcut for the application "Safari", menu item "Close Tab", shortcut ⌘w.

If you're not using English in Safari, lookup the exact name of the menu item for closing a tab. In the Dutch version of Safari, the menu item is called "Sluit tabblad".

Just want to add to hachre's answer that you can achieve the same result using terminal. For overwrite ⌘W in Safari execute following lines:

defaults write com.apple.Safari NSUserKeyEquivalents -dict-add 'Close Tab' '<string>@w</string></dict>'
defaults write com.apple.universalaccess com.apple.custommenu.apps -array-add '<string>com.apple.Safari</string>'

Then reload Safari:

killall Safari
open -a Safari

I use that commands in Sierra - works great.