Andy Mallon shows how to close a tab in SSMS and change the shortcut value:
CTRL + F4
Huzzah! This will close your query tab! Easy as pie. Also, note that CTRL+F4 is a pretty universal shortcut that works to close tabs/windows in other applications, too–including your favorite web browser. If you can switch your muscle memory away from CTRL+W to CTRL+F4, you can use that shortcut pretty much everywhere.
Click through for more information on changing shortcuts.