Read hdf does not close store
State: closed

- [x] closes #25766
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry


Labels:
name: Bug
name: IO HDF5
description: read_hdf, HDFStore

Comments:
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=h1) Report
> Merging [#25863](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/72f4098ca91fb7f9051021b0f78adecec3f28fdf?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25863/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #25863   +/-   ##
=======================================
  Coverage   91.47%   91.47%           
=======================================
  Files         173      173           
  Lines       52872    52872           
=======================================
  Hits        48364    48364           
  Misses       4508     4508
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.03% <0%> (ø)` | :arrow_up: |
| #single | `41.82% <100%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/pytables.py](https://codecov.io/gh/pandas-dev/pandas/pull/25863/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3B5dGFibGVzLnB5) | `90.19% <100%> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=footer). Last update [72f4098...ded7dd0](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=h1) Report
> Merging [#25863](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/f0ba498f71a9aed5b9cfda6ad6099fe9e7292cda?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25863/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25863      +/-   ##
==========================================
- Coverage   91.81%    91.8%   -0.01%     
==========================================
  Files         175      175              
  Lines       52578    52578              
==========================================
- Hits        48273    48269       -4     
- Misses       4305     4309       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.36% <0%> (ø)` | :arrow_up: |
| #single | `41.9% <100%> (-0.08%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/pytables.py](https://codecov.io/gh/pandas-dev/pandas/pull/25863/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3B5dGFibGVzLnB5) | `90.23% <100%> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/25863/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `75% <0%> (-12.5%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/25863/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `96.79% <0%> (-0.12%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=footer). Last update [f0ba498...de087c4](https://codecov.io/gh/pandas-dev/pandas/pull/25863?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).

Thanks @rbenes !