There is no such built-in functionality, but it is quite easy to create.
There is a similar thread here for the Silverlight TabControl, the suggestions there are valid for wpf as well:
Another thing you can do in WPF is use commands. Commands are attached to buttons and when the button is clicked, a routed event is raised on the button. You can handle the event anywhere on its route down to the application.
Commands are a very powerful concept, this MSDN article gives more details abou them:
To summarize: You need to handle the Click event of a button placed in the Header of a TabItem. Quite possibly the TabItems will be created dynamically and hence you will not have a direct access to the button, because it will be a part of a DataTemplate. Then you need use either a custom header (UserControl), routed events or routed commands to act on the button click.
All the best,
the Telerik team