I remember BS.Player had such problem once for some users.
But that was much longer ago I think than your version.
Version 2.5.7.1045 (beta) is most recent version at this moment.
Is "Close file" selected at "When finished" in south-east corner of window:
(rightclick>) Options > Preferences > General [General settings] ?
Also in same window: is box "Close file when 'Stop' button is pressed" selected?