This message is generated by an attempt to close a file that must remain open.
Normally the only files that cannot be closed are standard input and standard error files that are used by the Wolfram System to communicate with your computer. The nature of these files is different on different types of computers.
Off[message] switches off the message; On[message] switches it on. For example: Off[Close::spfile].
Examples
Basic Examples(1)
The first file in the list returned by Streams[] is normally a file that cannot be closed: