Hello,
If there are 3 projects opened in Cubase, when I close the active Cubase automatically starts to load the next project. Is there any way to disable this feature?
Nope.
Search around the feature request topics for a request about it that you can support.
Regards 
yeah this can suck if a very large session starts loading unintentionally. it’s often faster to kill the cubase process manually then to wait for it to load. 
i guess a very crude workaround could be to add an ‘in between’ blank project ‘between’ the actual projects so the fallback project is always the empty one. but it should definitely become a supported feature.
+1