Make sure that you click the X (Close button) for the document, not for the application.

Alternatively, you may find it useful to click Tools | Options | View and select "Windows in Taskbar." Each document will have its own window, and its own taskbar button, and you close documents one by one by clicking the X for that particular document window.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional