Simply, just move your cursor to the three dots menu in the conversation you want to close and then click on "Close this conversation".
Partyaner should ask are you sure you want to do that, after you click on "Continue" the conversation will be closed which means after that you will no longer be able to send messages to each other.
But if you want to contact that user again, you have to submit a new message request.
The "Close this conversation" option is available to both users who get in touch.