to_pickle memory leak
#### Code Sample

```python
import pandas as pd
import numpy as np

while True:
    df = pd.DataFrame(np.random.randn(10000, 4), columns=list('abcd'))
    df.to_pickle('/dev/null')
```
#### Problem description

Using `to_pickle` on different dataframes seems to leak memory. When I run this example, memory grows until OOM kill.

#### Expected Output

The example should use constant memory.

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

<details>

commit: None
python: 3.6.7.final.0
python-bits: 64
OS: Linux
OS-release: 2.6.32-431.el6.x86_64
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.24.0
pytest: None
pip: 18.1
setuptools: 40.6.3
Cython: 0.29.3
numpy: 1.16.0
scipy: None
pyarrow: None
xarray: None
IPython: 7.2.0
sphinx: None
patsy: None
dateutil: 2.7.5
pytz: 2018.9
blosc: None
bottleneck: 1.2.1
tables: None
numexpr: 2.6.9
feather: None
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml.etree: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: 2.7.5 (dt dec pq3 ext lo64)
jinja2: None
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
gcsfs: None
</details>
