Unclosed file on EmptyDataError

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

```python
import pandas
import psutil

proc = psutil.Process()
try:
    data = pandas.read_csv('kek.csv', engine='python')  # kek.csv is an empty file
except pandas.errors.EmptyDataError:
    pass

print(proc.open_files())

```
#### Problem description

Hi, there might be an unwanted behavior on attempt to read an empty `.csv` file, providing a
filename instead of handler, so it cannot be closed anymore by user on exception.

#### Expected Output

`[]`

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

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.14.13-1.el7.elrepo.x86_64
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.0.0
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 19.2.2
setuptools       : 45.1.0
Cython           : 0.29.14
pytest           : 5.0.1
hypothesis       : 4.32.2
sphinx           : 2.1.2
blosc            : None
feather          : None
xlsxwriter       : 1.1.8
lxml.etree       : 4.4.1
html5lib         : 1.0.1
pymysql          : 0.9.2
psycopg2         : 2.8.3 (dt dec pq3 ext lo64)
jinja2           : 2.10.1
IPython          : 7.8.0
pandas_datareader: None
bs4              : 4.8.0
bottleneck       : 1.2.1
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.4.1
matplotlib       : 3.1.1
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 2.6.2
pandas_gbq       : None
pyarrow          : 0.15.0
pytables         : None
pytest           : 5.0.1
pyxlsb           : None
s3fs             : None
scipy            : 1.3.1
sqlalchemy       : 1.3.7
tables           : 3.5.2
tabulate         : 0.8.3
xarray           : 0.12.1
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.1.8
numba            : 0.45.1
</details>
