Brief testing in Vanilla 2009. If SDI is set to 0, with one drawing open, the document closes. If SDI is set to 1, with one document open, the application closes. If SDI is set to 0 and multiple drawings are open, the active one closes. If SDI is set to 1 and multiple drawings are open, you've probably got bigger problems than AutoCAD closing.
[Cliff Notes Version]
Check SDI
[/CNV]