Closing or leaving open files when you to open an existing project seems like a debatable situation that's best left to a configuration option (personally, I think that leaving open files open, or at worst prompting, is the proper thing to do, but I can understand that others might have a different preference).
But does closing all your open files make much sense if you're creating a new project? A very common use case is exactly what was originally posted - I'm working on a bunch of files (regardless of whether it took hours to locate them all or not), and I think to myself - "hey, these would make a nice project". It seems to me that a better way for the editor to work is to automatically place the currently open files into the newly created project. Or at least give me a "Project/Create Project from open files..." menu item.