A pet peeve for a long time, but AE is the only program I can recall with this behaviour. When you use the Open Project option it closes the current open one. Please make it so that it only closes the current project after you've actually selected a project to open in the dialog, and not before.
Thanks for making this report. Since the closing behavior is currently as-designed i.e. not a bug, I've moved your request for a change to our Ideas/feature requests section. I also updated the title to reflect the request, but please let me know if you don't feel the new title correctly captures what you've requested.