BUG: read_csv - file left open after UnicodeDecodeError when sep=None
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import tempfile
import textwrap
import pandas
import os

workspace_dir = tempfile.mkdtemp()
csv_file = os.path.join(workspace_dir, 'non-utf8.csv')
# encode with ISO Cyrillic, include a non-ASCII character to achieve UnicodeDecodeError
with open(csv_file, 'w', encoding='iso8859_5') as file_obj:
    file_obj.write(textwrap.dedent(
        """
        header,
        fЮЮ,
        bar
        """
    ).strip())

try:
    dataframe = pandas.read_csv(csv_file, sep=None)
except UnicodeDecodeError as error:
    os.remove(csv_file)
    raise

```

#### Problem description
`os.remove` raises a PermissionError on Windows because apparently the file handle is still open. This only happens when the `sep=None` kwarg is used. Leaving out that kwarg gets the expected output.

#### Expected Output
```python
Traceback (most recent call last):
  File "..\scratch\pandas_file_handle.py", line 19, in <module>
    dataframe = pandas.read_csv(csv_file, sep=None)
  File "C:\Users\dmf\projects\invest\env\lib\site-packages\pandas\io\parsers.py", line 605, in read_csv
    return _read(filepath_or_buffer, kwds)
  File "C:\Users\dmf\projects\invest\env\lib\site-packages\pandas\io\parsers.py", line 457, in _read
    parser = TextFileReader(filepath_or_buffer, **kwds)
  File "C:\Users\dmf\projects\invest\env\lib\site-packages\pandas\io\parsers.py", line 814, in __init__
    self._engine = self._make_engine(self.engine)
  File "C:\Users\dmf\projects\invest\env\lib\site-packages\pandas\io\parsers.py", line 1045, in _make_engine
    return mapping[engine](self.f, **self.options)  # type: ignore[call-arg]
  File "C:\Users\dmf\projects\invest\env\lib\site-packages\pandas\io\parsers.py", line 2291, in __init__
    self._make_reader(self.handles.handle)
  File "C:\Users\dmf\projects\invest\env\lib\site-packages\pandas\io\parsers.py", line 2412, in _make_reader
    line = f.readline()
  File "C:\Users\dmf\projects\invest\env\lib\codecs.py", line 322, in decode
    (result, consumed) = self._buffer_decode(data, self.errors, final)
UnicodeDecodeError: 'utf-8' codec can't decode byte 0xce in position 10: invalid continuation byte
```


#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : 3e89b4c4b1580aa890023fc550774e63d499da25
python           : 3.7.9.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19041
machine          : AMD64
processor        : AMD64 Family 23 Model 1 Stepping 1, AuthenticAMD
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : None.None

pandas           : 1.2.0
numpy            : 1.19.2
pytz             : 2020.5
dateutil         : 2.8.1
pip              : 20.2.4
setuptools       : 49.6.0.post20201009
Cython           : 0.29.21
pytest           : 6.1.1
hypothesis       : None
sphinx           : 3.2.1
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : None

</details>
