Unlike Ubuntu, elementary OS does not seems to have setting to change the laptop lid close behaviour. By defaults system is getting suspended.
However you can use DConf-Tools to change it.
You can install the program by executing the following command in the terminal
sudo apt-get install dconf-tools
Then open **Dconf Editor **and navigate to the following option.
org -> gnome -> settings daemon -> plugins -> power
There you will need to edit lid-close-ac-action and lid-close-battery-action