It gets to the end of the batch file, and that means it closes. It's got nothing else to do!
To make it "play a game" you would need to establish a loop of some form: you could use a goto to go back to the "game" label, but you'd need something to let you exit.
To be honest, a batch file isn't the best thing to write a game in, even a simple one! Even a
Powershell script[
^] would be a better idea, but moving to C# would be a much better solution - you will get much more flexible code (at the code of a steeper learning curve, but much easier code to modify).