I'm using Ubuntu Natty, though I had noticed this problem in Maverick as well. Because Rhythmbox opens up out of focus, pressing Ctrl-W/Ctrl-Q has the alarming effect of shutting down whatever application was behind Rhythmbox; in my case, generally Firefox. Since nobody else seems to be experiencing this problem, could it be a problem my end?
Don't worry, it's not just you. :)
The same problem was reported as a Banshee bug as well, but it was closed because this is actually a bug with Compiz. If you have a Launchpad account, you may want to click the "this affects me too" link and mention that Rhythmbox is also affected by this when it is opened from the sound menu.