Here is solution I have found myself.
procedure SwitchToPreviousWindow(AHandle: HWND);
var PrevWindow: HWND;
begin
PrevWindow := GetNextWindow(AHandle, GW_HWNDNEXT);
while PrevWindow <> NULL do
begin
if IsWindowVisible(PrevWindow) then
begin
SetForegroundWindow(PrevWindow);
Exit;
end;
PrevWindow := GetNextWindow(PrevWindow, GW_HWNDNEXT);
end;
end;
procedure TfMyForm.FormClose(Sender: TObject; var Action: TCloseAction);
begin
SwitchToPreviousWindow(Self.Handle);
end;