Currently, no. Since it is not possible to cancel the process of closing document.
I have tried this myself with no luck. I tried to return return a value in order to cancel the process.
Which was not a surprise since nothing in the API reference (SW2012) states that it should be possible... But I gave it a try.
This is possible for some events, e.g. DSldWorksEvents_FileNewPreNotifyEventHandler
Here is example about returning a value in order cancel a action. Note that the help file explains it is possible. So the attempts I did was not at all supported for the event that you mention.