How to enable Chrome's "continue where you left off" for OS X El Capitan?
First, you want to make sure the setting is enabled in Chrome.    In the upper left corner of the screen, you'll want to click on Chrome -> Preferences and make sure the "continue where you left off" button is checked.

Next, please do understand there is a difference between closing a window and closing a program.   Command - Q is used to exit a program completely.    In OS X, if you close a window using the "red x" in the upper left corner, you are closing out a window, and not the program.    

To see this work correctly...  try opening 3-4 tabs.   Then press  Command - Q.    Then relaunch Chrome.   You should see all your tabs there.