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Absolutely. You choose to close a location if a henchman (or some condition) allows you to or the location is empty (and allows you to). You do not have to do it.
However, the location stays open and is available to escape to by the villain. Sometimes that's a reasonable choice if defeating the villain is an easy task.

skizzerz |

If a card is allowing you to close (such as a henchman), read what the card says. Most henchmen say "If defeated, you may immediately attempt to close the location this henchman came from." (In Rise of the Runelords all henchmen implicitly have this text. With Skull & Shackles and beyond it is explicit, so a henchman that lacks it does not allow you to close.) In this case, closing is optional due to the word "may." If you choose not to close, however, you lose your chance to do so until you completely empty out the location deck or some other effect comes along and let's you close. Closing an empty location deck is optional too, once per turn after your explore step you may attempt to close an empty location. In either of the above two cases, you must Meet the When Closing requirement in order for the location to be closed.
If you defeat a villain, you automatically close the location the villain came from. This is a mandatory action, but you also get to skip any When Closing requirements in this case. If other effects let you close a location (instead of attempting to close), you get to bypass When Closing for those as well and just automatically close the location.
Should you always (attempt to) close a location when you get the opportunity? Depends; maybe the When Closing sucks so it is far more preferable to make the villain escape there and then bash the villain in again to close it that way. Maybe the location deck is still full of cards and the deck list indicates the it may have some really nice stuff you want to see/acquire before they all get banished. Maybe the On Closing or When Permanently Closed effect is rude so you want to hold off on closing that location until later on.

Hawkmoon269 |

It was an explicit thing in Rise of the Runelords too, just not as commonly seen. I believe the Nightly Boa henchmen lack the closing text.
It is also possible for a henchman to exist that doesn't say "may" but instead just automatically closes the location whether you want to or not.
But the most common thing so far is that they all say "may". And if they do, it is indeed your choice as to whether you want to take advantage of that or not