Как что-то делать, когда консоль закрыта пользователем (С++)?

Я бы сделал что-то вроде этого, поместив всю бизнес-логику внутри класса. Этот класс также отвечает за управление временем жизни основного цикла (потока). Я также использую условные переменные, чтобы обеспечить возможность оперативного завершения основного цикла.

#include <cassert>
#include <chrono>
#include <thread>
#include <mutex>
#include <condition_variable>
#include <iostream>

#define WIN32_LEAN_AND_MEAN
#include <windows.h>

// It is always a good idea to encapsulate the business logic in a class
// this way you can control the lifetime of the business logic
// and the runtime state of it. This is especially important when
// you have background threads running that you need to stop gracefully.
class BusinessLogic
{
public:
    BusinessLogic() = default;

    ~BusinessLogic()
    {
        Stop();
    }

    // There is a chance for a small race condition where starting a thread
    // will return before the background thread is actually scheduled.
    // So wait for the mainloop to have really started (thread scheduled) before continuing.
    void Run()
    {
        m_thread = std::thread{ [this] { Mainloop(); } };
        WaitForState(State::Running); // Wait for mainloop to have really started
    }

    // Stop the business logic
    // this can happen because main asks it to stop or the signal handler asks it to stop
    void Stop()
    {
        // if already stopped do nothing
        {
            std::unique_lock<std::mutex> lock{ m_mutex };
            if (m_state == State::Stopped)
                return;
        }
        SetState(State::Stopping);
        WaitForState(State::Stopped); // Wait for mainloop to have really stopped
    }

    void SaveProgress()
    {
        std::cout << "Saving progress\n";
    }

private:
    // state of the business logic/mainloop
    enum class State
    {
        Initial,
        Starting,
        Running,
        Stopping,
        Stopped
    };

    // use a condition variable to signal state changes
    void SetState(State state)
    {
        std::unique_lock<std::mutex> lock{ m_mutex };
        m_state = state;
        m_cv.notify_all();
    }

    // use the condition varibale to wait for state changes
    void WaitForState(State state)
    {
        std::unique_lock<std::mutex> lock{ m_mutex };
        m_cv.wait(lock, [this, state] { return m_state == state; });
    }

    void Mainloop()
    {
        SetState(State::Running);
        while(true)
        {
            std::cout << "." << std::flush; // show mainloop is still running

            // Using a condition variable with a timeout allows for a clean and responsive shutdown
            std::unique_lock<std::mutex> lock{ m_mutex };
            m_cv.wait_for(lock, std::chrono::seconds(1), [this] { return m_state == State::Stopping; });

            // Check if we should stop (cooperative shutdown of the thread)
            if (m_state == State::Stopping)
            {
                SaveProgress();
                break;
            }
        }
        SetState(State::Stopped);
    }

    std::mutex m_mutex;
    std::condition_variable m_cv;
    State m_state{ State::Initial };
    std::thread m_thread;
};

// Meyer's singleton
// Allows console handler to access the BusinessLogic instance
BusinessLogic& GetBusinessLogic()
{
    static BusinessLogic businessLogic;
    return businessLogic;
}

BOOL WINAPI SetConsoleHandler(DWORD signal)
{
    if ((signal == CTRL_C_EVENT) || (signal == CTRL_BREAK_EVENT) || (signal == CTRL_CLOSE_EVENT))
    {
        std::cout << "Control flow abort received\n";
        GetBusinessLogic().Stop();
        std::this_thread::sleep_for(std::chrono::seconds(3)); // Allow user to see the output before finally shutting down
    }

    return TRUE;
}

int main()
{
    auto& businessLogic = GetBusinessLogic();
    auto retval = ::SetConsoleCtrlHandler(SetConsoleHandler, TRUE);

    businessLogic.Run();

    // Allow businessLogic to run for 10 seconds
    std::this_thread::sleep_for(std::chrono::seconds(10));

    businessLogic.Stop();
    return 0;
}