Is it a good practice to ask before exiting an application (with nothing to save)?

Every now and then, I come across applications that, when clicking on the main window's "X", ask me whether I'm sure that I want to quit the application.

I'm not talking about asking me to save unsaved documents, but about applications that aren't document related at all.

This always bothers me, since I feel totally interrupted in my workflow. I was already thinking two steps ahead of what I want to do next, and this message box abruptly pulls 100% of my attention.

My question:

Are there any valid use cases where a non-document-centric application should ask me whether I'm sure that I want to exit the application?