Penalty for not actually quitting

There are many times where I am in a game that gets loaded in and then before the game actually starts someone quits and then the lobby dissolves. This kicks me back out to the matchmaking cue and the search continues. When I try to back out when I am waiting for a game to be found it tells me that if I do I will receive a quit penalty. Why is this even a thing? This problem has been around for a long time and I really wish you guys would fix it, I literally have to alt f4 to get out of the cue because I will never find a game after that happens.