BUG: to_pickle/read_pickle do not close user-provided file objects
- [x] closes #35679
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Do not close user-provided file-objects in `to_pickle` and `read_pickle`.