What happens when you want to close a gate but there's another investigator in Other World?
If the gate the second investigator came through (or another gate to the same world) is open when they try to return, then they would return as normal to whichever gate they choose.

However, if there are no open gates to that Other World, then the investigator would be lost in time and space. For reference, this is on page 8 of the Arkham Horror rulebook, under the Other World Movement section.