I have a button click event handler with the following pseudo code:
private void btnSave_Click(object sender, EventArgs e)
if(txt.Text.length == 0)
// Do something else
// Some other code...
The rest of the event handler is executed because you did not leave the method. It is as simple as that.
this.Close() does not immediately "delete" the form (and the current event handler). The form will be collected later on by the garbage collector if there are no more references to the form.
this.Close() is nothing than a regular method call, and unless the method throws an exception you will stay in the context of your current method.