Please Check this demo and Demo 2
<li>
<a href="#tabs-1">Nunc tincidunt</a>
<span class='ui-icon ui-icon-circle-close ui-closable-tab'></span>
</li>
Jquery
$(".ui-closable-tab").live( "click", function() {
var tabContainerDiv=$(this).closest(".ui-tabs").attr("id");
var panelId = $( this ).closest( "li" ).remove().attr( "aria-controls" );
$( "#" + panelId ).remove();
$("#"+tabContainerDiv).tabs("refresh");
var tabCount=$("#"+tabContainerDiv).find(".ui-closable-tab").length;
if (tabCount<1) {
$("#"+tabContainerDiv).hide();
}
});