There are many questions on SO asking same doubt. Solution for this is to set
notifyIcon.icon = null and calling Dispose for it in FormClo
This is normal behaviour, unfortunately; it's due to the way Windows works. You can'r really do anything about it.
See Issue with NotifyIcon not dissappearing on Winforms App for some suggestions, but none of them ever worked for me.
Also see Notify Icon stays in System Tray on Application Close
Microsoft have marked this as "won't fix" on Microsoft Connect.