Ok, in the end I didn't really find a solution within ckfinder, but since I was already working with jquery ui I just opened the ckFinder in a ui dialog box. Which gives me the ability to add a callback to the close button.
Maybe it is possible to add a cancel callback through the skins, but I chose the quick way of ui dialogs. (The only skinning I tend to do is in CSS, which is more then enough most of times)
Anyway, I hope this helps someone else too.