Starting Firefox 65, Firefox browser to ask for confirmation to close multiple tabs even if the browser is set to restore the previous session on startup, this applies to Windows, Linux and Mac platforms.
Current Firefox version 63, no longer warns if you try to quit browser with tabs open if you’ve session restore enabled in settings. Mozilla felt, it is not necessary to warn the user if browser restores tabs and Windows from the previous session on next startup, now this has been changed, beginning with version 65, Firefox shows confirm close dialog, where you’ve to agree to close tabs or you can click cancel to keep the browser window with tabs open.

If you don’t want to receive the warning each and every time when you close browser, then you’ve to uncheck ‘Warn me when I attempt to close multiple tabs’ in the dialog , then the ‘Warn you when quitting and closing multiple tabs’ option appears under Tabs Settings in General section. If you want Firefox to ask for confirmation whenever you close browser window with tabs open, re-enable the option in Settings again.

Do you appreciate this change?
Hooray! It was getting time after so many years of this annoyance. Since I follow regular releases I just have to be patient until 65 is rolled out generally.