If you had modified the part ,Simply try closing the window,It will give three options 1. Yes-Save & Close 2. No-Close 3. Cancel . select the second option.
I think it doesnt work that way in NX 11.0.2. I think it doesnt ask me because if opened in an assembly the part is not really closed, which I prefer because the old behaviour was really annoying (part was closed and I needed to reopen it in the assembly context). Just a way to abort changes at closing displayed windows would be a plus!