From the menu in the top left corner of the screen, select System Preferences. Click on Keyboard then Keyboard Shortcuts then Application Shortcuts.
Click the + button to add a new shortcut
Select "Terminal.app" for the application, and for the command, type Close (this is case sensitive). You must provide a keybinding, but it doesn't have to be the default. In the shortcut box, give it a different shortcut, like ⌘ControlW
Goto Keyboard System Preferences and select "Keyboard Shortcuts". Then choose Application Shortcuts from the left and click +. Choose "Terminal.app" and enter a menu item that is not that critical. I chose "Bring All to Front". Then click into Keyboard Shortcut and hit CMD+W. Click OK.
Using this technique have have successfully redirected the CMD+W shortcut in Terminal.
I wanted to have both ⌘W & ⌘C both perform Copy (muscle memory, don't ask). The native method only allows you one key per command, with BTT I was able to have both keys mapped to same command, while also avoid the undesired Close WIndow behaviour