Yep. Select2 exposes a close option like so:
$('#your-select-box').select2("close");
You could run this when your dialog fires off its own close event:
$( ".selector" ).dialog({
close: function( event, ui ) {
$('#your-select-box').select2("close");
}
});
or
$( ".selector" ).on( "dialogclose", function( event, ui ) {
$('#your-select-box').select2("close");
} );