What you are experiencing is a side effect of Automatic Termination a feature that was introduced in 10.7 Lion. This feature lets the operating system shut down applications whenever it either needs the resources they are using or when it decides you aren't using them anymore. However while it removes the application from your screen, if it has enough resources it will keep the process around in a sleeping state just in case you plan to reuse it, allowing it to quickly relaunch it.
You can easily test this for yourself by opening a single JPEG in Preview. If you close the JPEG and bring another application to the foreground you should see Preview disappear from your dock almost instantly. However if you check Activity Monitor, for a while, you should still see Preview listed but sitting with 0.0 CPU, and if you run
ps -j | grep Preview you should see the process listed but with state set to "S" for sleeping.
If Preview was preventing you from clearing PDF files from your Mac, my guess is that you had the files open in Preview but the application had been in the background for a while, so the OS decided you weren't using it anymore and closed it. However it still had the Preview process running in a sleeping state ready to bring quickly back to life should you want it, coincidentally keeping access to the PDF files open as well, preventing them being deleted. Given time, the OS would release Preview from memory and release its hold on the files as well.