This is the intended behavior. It used to operate the way you describe,
but some people didn't like that and decided to change it:
https://bugs.launchpad.net/ubuntu/+source/rhythmbox/+bug/38512
Worse, there's no easy option to make it operate the way you want. :\
** Changed in: rhythmbox (Ubuntu)
Status: New => Confirmed
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https://bugs.launchpad.net/bugs/995788
Title:
rhythmbox music player keeps playing after being closed down
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