There is a difference in how people use browsers. I think the behavior you prefer, is aimed at expert or tab users. Most browsers try to make the user experience best for a large amount of users, not just the experienced tabbers.
The idea behind the feature you describe from Opera, is that you open a new tab for every new webpage you visit. Then it is also logical that when you close a tab, you just close the website, not the browser.
However, I see that most people re-use tabs for new webpages. When they want another website, they type in something in the url or search bar of the current tab, and go. Mostly, they also just have one tab - tab and browser are one thing for them. They don't open another tab for another website. For this behavior, it is quite natural that the browser quits once the (last) tab is closed.
By the way, almost all browser implement a good middle way. With only one tab open the close button on the tab is not visible, and
right click >
close this tab is disabled. You are encouraged to use the close button of the browser. Only using the 'close tab' shortcut (
w) works to close the last open tab. This behavior is seen in Firefox, Internet Explorer and Safari. Only Chrome does let you close the last open tab.
I think this is actually a quite nice middle way between non-tab users and experienced tab users.