Really? Not just tabs. The danger is you have 5 tabs open, you only want one of them but you accidentally close all of them, now you've lost the window with the tab you wanted.
I'm not ek750, but this is true for both of the browsers I use regularly. In Chrome on OS X, Cmd+Shift+T reopens the last-closed tab, whether it was in a different/closed window or the one that is currently focused. In Firefox on Linux, Ctrl+Shift+T restores the last-closed tab in the currently focused window, and Ctrl+Shift+N restores the last-closed window.
I have both of these browsers configured to save my sessions and start from where I left off when I quit the application entirely. Both of them persist my closed tab/window history between sessions as well, so I can for example close my way out of 15 tabs across 2 windows, then reboot my laptop, then when I start my browser it will reopen whatever tabs/windows I didn't explicitly close and if I want to restore the ones I closed before the reboot I can use the restore shortcut(s) to get them back.
Really? Not just tabs. The danger is you have 5 tabs open, you only want one of them but you accidentally close all of them, now you've lost the window with the tab you wanted.