This happens to me as well but in a slightly different way. As soon as I back out of everything and I'm at the main menu, I'll hit quit, and then the game "closes" so to speak, however, it's also still running. By that I mean after I hit quit, I'm left with a light blue screen that I can't get rid of unless I CTRL+ALT+DEL and end task DayZ.exe. This happens to me every time and it's only started recently.