You can close Chrome even with the options window open and hidden (the window is not modal).
However, as bibblebub says, the most likely answer is that the window is behind the main Chrome window. One way to achieve this would be if you double-clicked on options rather than single-clicking (the first click opens the options window, the second click returns focus to the main window and brings it in front of the options window). Double-clicking Print does not have the same effect, because the Print dialog is a Windows dialog, whereas the options window is woned by Chrome.