We use popovers quite a lot and, when you click away from them, they close. Do you think it's reasonable to expect that the majority of web users will know how to close it this way instead of adding a close button?
I notice that the Spotlight search on Mac OS X Yosemite doesn't have a close button and needs to be dismissed by clicking away. Presumably, if Apple have done that then it is now conventional behaviour.
On the other hand, I notice that Google Calendar still has a close button.
Update on 24 Jan 2016
Thanks to icc97 pointing it out below, I have now seen Apple's Human Interface Guidelines for popovers which say:
Close the popover as soon as people make a choice or when they tap anywhere outside its bounds, including the control that reveals the popover.
I recently saw an example of these guidelines in action in this popover from the iPad App Store. You will see that there is no close button. You dismiss it by tapping anywhere outside its bounds. Apple has sold 800 million iOS devices so you can attach some importance to this :)
We launched this popover without a close button in our app recently and not one person has asked us how to close it. The app is used by tens of thousands of people. So, it seems that clicking away to close can definitely be considered "conventional".
There is one exception to closing a popover when users click/tap outside its bounds and that’s when users have done work in a popover. As the iOS guidelines state:
Close the popover when people complete or cancel the task by tapping a button in the popover, such as Done or Cancel. In this scenario, you may not want to close the popover when people tap outside its borders, because it might be important that people finish—or explicitly abandon—the task. Otherwise, save people’s input when they tap outside a popover’s borders, just as you would if they tapped Done.