OK, at least I know I'm not going mad
However, while I sort of see the reasoning behind this behaviour (it's expected that you'll go straight back to the previous application after you've viewed the link), there are many times when this isn't what I actually want to do!
Sometimes I don't want to go back to what I was doing before. Say I opened a link from Tweetdeck - I view the link, then continue to do something else in the browser like check my RSS feeds rather than going straight back to Tweetdeck.
Furthermore, if I leave a tab open that was initiated from an external url, close the browser, then come back to it again later, 99% of the time I either just forgot to close that tab - in which case I don't want the browser to close when I close the tab, or else I left it open deliberately for later reference - and again, I don't need or want the browser to close when I do eventually close that particular tab.
To me, while there is the possibility that I might want the browser to close when I close a tab that was opened
during the same session (e.g. if I only opened the browser to view a link from Tweetdeck, and want to go back to Tweetdeck immediately afterwards), I can't see any reason why I would ever want the browser to close when closing a tab that was opened from an external url
during a previous session.
I think the best solution would be to only allow this behaviour (closing the browser when a tab initiated from an external url is closed) if (a) no other tabs have been opened or viewed since the externally initiated tab was opened, and (b) if it is during the same browsing session as when the externally initiated tab was opened. (By 'session' here I simply mean the browser being open in the foreground).
I hope I've explained that clearly enough! What do others think about this? Does it make sense, or am I alone in thinking it should work this way?