After I open something with emacsclient, when I kill that buffer (C-x k) I get a confirmation dialog:
Buffer `blah\' still has clients; kill it? (yes or no)
The other option is to use the -n option with emacsclient so that it doesn't wait for the file to be edited before exiting.
-n
emacsclient
For example:
emacsclient -n myfile.txt