Exit closes 3ds Max. If you have unsaved work, you'll be asked if you want to save it.
 
  Application menu
 Application menu Exit 3ds Max.
 Exit 3ds Max. 
                  If the scene has unsaved changes, a prompt asks, “Do you wan t to save your changes?”
If you click Yes the scene is saved, if you click No the scene is not saved, if you click Cancel the Exit operation is canceled.