If I click on the desktop with an open application it doesn't close the application.
What you described is true for a context menu.
If you don't want to click on exit, what's wrong with pressing tab?
It changes focus in one click to the new object you clicked on- text box, icon, anything. You *don't* have to click [exit this window] for your pointer to access things outside of the window you were formerly operating in.
Wow, this place is being purposefully obtuse at this point I guess.
Fine enjoy the old school extra clicking.