I feel this should be allowed, because I've run into questions that had bounties but should be closed, often for being not constructive or not a real question. However, I feel it should take eight votes (more or less) to close a question with a bounty, rather than the normal five. Users should be advised to exercise caution when voting to close a question with a bounty, since closure would automatically end the bounty.
If possible, one-half of the bounty should be awarded automatically to the highest-scoring answer posted since the bounty was started with a score of at least +2, as if the bounty had expired. Otherwise, the bounty would be lost.