If you pull out the drive that contains the files you're looking at, it closes. That's how it's designed. What would you rather it do?
This reply is a little late but I felt I had to say something... Shawn Keene, I happen to run into this thread while hunting for a possible method to prevent the explorer.exe process from closing after physically removing "removable media."
The very first thing I read was your arrogant condescending remark to someone asking a legitimate question about a way to avoid that behavior.
The explorer process closing after removing a device even when inserting the device did not spawn the explorer process in the first place may have been purposely coded into windows, but it is NOT a desired behavior that many people want. So, Microsoft made an ASSumption. Making it change focus to the next available resource is not a big deal as this behavior occurs all the time in Windows Explorer.
Folks like you Shawn, SHOULD NOT interact with the community at all if you hate life so much that it causes you to act stupid. And if you can't stand answering questions from those who don't know every little detail about a piece of software then QUIT, find a new job, or just shut the F#@! UP! Not everyone on the planet dedicates 100% of their life to figuring out programs and software created by others. The sooner you figure that out the better off you'll be.
For everyone else reading this, I can say that when I'm about to remove a "removable media" like an external hard drive or memory stick, I find that by simply selecting a local drive first (Like C:) will prevent Windows/File Explorer from closing when the removable drive is taken out. It's an extra step and not a solution, but does save from having to reopen another explorer process. Microsoft definitely needs to revisit this default behavior.