Both Firefox and Internet Explorer had this feature by default, however, for some reason Chrome does not. It is therefore very easy lose work if you accidentally close the main Chrome window instead of closing a particular tab in Chrome.
There is an add-on for Chrome called Chrome Toolbox (developed by Google), which brings this missing feature to Chrome and prevents closing multiple tabs. Install the Chrome Toolbox extension and now you are warned against closing multiple tabs by accident with a prompt message "Are you sure you want to close all tabs?"
Why this feature isn't enabled, or even available, by default I have no idea, but at least there is a simple solution to prevent closing multiple tabs in Chrome.