Close all windows on iPhone

Do you mean closing all apps? Apple says in Close an app on your iPhone or iPod touch that "You should only close an app if it's unresponsive", which is to say that there is no need to close an app.

However, if you wish to do so there isn't a way to close them all at once, but you can close multiple apps if your fingers have some dexterity. Just as you can swipe upwards to close an app, you can close several at once by using one finger on each app simultaneously. I've observed however that most users simply close one at a time, but do it rapidly.