BUG: Pandas doesn't release the lock when a corrupted file is fed in. pandas==1.2.1 worked fine but pandas==1.2.4 has this issue.
Kindly refer the following code snippet. 

`import pandas as pd`
`import os`

`# Creating a corrupted file`
`with open('a.xlsx', 'w') as f:`
`    pass`

`# Reading using pd.ExcelFile`
`data = pd.ExcelFile('a.xlsx', engine='openpyxl')`

`# Deleting the file`
`os.remove('a.xlsx')`

Here, I create a .xlsx file which is not the correct way to make xlsx file but this will express my concern. Then I use pd.ExcelFile to read the xlsx file but it gives me `zipfile.BadZipFile: File is not a zip file` which is fine but later when I try to delete that file I get `PermissionError: [WinError 32] The process cannot access the file because it is being used by another process: 'a.xlsx'`. This doesn't happen in `pandas==1.2.1` and lower version. The current version i.e. `pandas==1.2.4` has this bug. 
