This is true for all the modals -- inbox, search, flag, close, react... they're toggles. (Well, almost all -- moderators have a "tools" option that behaves differently, and there might be some others, but in general, if you clicked to open it and you don't see an X, click again to close it.)

Post flag is different from inbox, search, react, and comment flag (I don't know about close) in that post flag expands in the flow of the page and can only be closed via toggling, whereas the others produce floating dialogs and can also be closed by clicking anywhere else outside the dialog.

Oh, thanks for catching that. Close behaves like flag, FYI. Maybe we should just give everything of this sort an "X" in addition to whatever other things work, because that's a clear signal. Hmm.