Ok, so there's an errata for Teleportation Chamber already on how to close it:
Teleportation Chamber (errata'd) wrote:
Examine the top card of a random other open location deck and, if it is a bane, succeed at its checks to defeat. If you did not examine a bane, this location closes automatically.
But what if I defeat a henchman and all other locations are closed (with the villain escaping to this last open location before)? I suppose you can't examine a bane if there are no cards at all...