Out of the box, there is no option for save changes prompt if the browser is closed. It is recommended to logoff the session and not to close the browser because the session would be still existing. You may post this as an idea at the top right of this page.
We would like that when the browser tab/window is "closed" that the form be checked for changes, and prompted to save/discard/cancel; and log off the session if the user proceeds. Losing the data without recourse is not a valid option, particularly when browser tabs/windows today are generally closeable. Further, leaving the session open is not a clean mthod of operation; and in some circumstances can result in bloated resource use.