you can do follow this. all in your JFrame
1) disable close on exit by.
     setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);
2) add window event to capture the close event.
    addWindowListener(new WindowAdapter() {
            public void windowClosing(WindowEvent e) {

                //do something that you want.
                               //.......
            }
});
3) now you can add keymap or actionkey , keystoke to map VK_F4 +
ALT_MASK