I have heard that too, but where I am, it is not what is said.
All of these sound normal to me:
Please turn off the light
Please turn out the lights
Please shut off the lights (but NOT shut out)
Please put out the lights (but NOT put off)
This is probably one of those phrases that has a lot of variation depending on where you live. I'll be intersted to hear where people do say "close the light."