By design when a Pane's Close button is pressed the its IsHidden property is set to True, this is done in order to be able to show the closed Pane at a later stage if needed.
You can permanently remove the Pane by calling its RemoveFromParent() method. You could do that in the Close event of the Docking control. The next code snippet shows the described approach:
in the xaml:
and in the code behind:
sender, Telerik.Windows.Controls.Docking.StateChangeEventArgs e)
var closedPanes = e.Panes
All the best,
the Telerik team