BUG: read_csv does not close file during an error in _make_reader
- [x] closes #39024
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

I don't understand why `td.check_file_leaks` doesn't complain about the left opened file (at least for me locally). I commented the close call on purpose to see whether the test fails at least for the CI.

@jbrockmendel I think you have debugged ResourceWarnings in the past. Do you know why the test doesn't fail? Even putting a `open("foo", mode="w")` in the test doesn't make it fail.

[The test case is different from  #39024 but the symptoms are the same. Unless the except clause is narrowed down to specific exceptions, this PR will fix #39024]