Fixed CancelledError being raised from various .close() methods

[agronholm]

Changes

Fixes #

Checklist

• [X] I think the code is well written
• [ ] Unit tests for the changes exist
• [ ] Documentation reflects the changes
• [x] Add a new news fragment into the CHANGES folder
  • name it <issue_id>.<type> (e.g. 588.bugfix)
  • if you don't have an issue_id change it to the pr id after creating the PR
  • ensure type is one of the following:
    • .feature: Signifying a new feature.
    • .bugfix: Signifying a bug fix.
    • .doc: Signifying a documentation improvement.
    • .removal: Signifying a deprecation or removal of public API.
    • .misc: A ticket has been closed, but it is not of interest to users.
  • Make sure to use full sentences with correct case and punctuation, for example: Fix issue with non-ascii contents in doctest text files.