Why doesn't alt+F4 close cmd?
Solution 1:
The command window uses those key combination for varies applications within the dos emulating window. If Alt-F4 closed the window, it may be impossible to use certain utilities. If you want a keyboard only fix just type exit
to quit.
Solution 2:
On the other hand, if you are looking to have Alt+F4 close the console window, you can use the following AutoHotkey script:
#IfWinActive, ahk_class ConsoleWindowClass
!F4::WinClose, A
#IfWinActive