That's not what I would expect a close button to do, at all. It seems like you're expecting it to actually work like a forward button?
People have learned that clicking that little X gets rid of the obstruction so they can view the page as it was intended.
You probably dismiss hundreds of these EU cookie notices per week.
They click the X or OK on the message, the message disappears, the site stays.
If you can find a website where the cookie warning’s X button redirects to your last Google search, please do so.
Regular users have been expecting search results to behave a certain way for over two decades. Opening the results in a modal is simply not the expected behaviour. Changing the back button is not the expected behaviour.