But that's one of my favourite things about it!
I remember one time when I had to use Windows after being away from its window-based paradigm (rather than an application-based paradigm) for several years. I had a single window open in Sublime Text, and I wanted to close that window then open a new one. So I closed that window, then instinctively reached for the menu bar to select 'Open Project'. Of course, the menu bar was no longer there, because it was part of the window I just closed. And then when I opened Sublime Text to get the menu bar back, it re-opened its last open document, which was the window I was trying to get rid of.