Not really supported in gpiozero.
There is an "ongoing" discussion over herer: https://github.com/gpiozero/gpiozero/issues/707
There is a hack mentioned by CAM-Gerlach, that seems to work:
import gpiozero.pins.rpigpio
def close(self): pass
gpiozero.pins.rpigpio.RPiGPIOPin.close = close
gpiozero.LED(..., pin_factory=gpiozero.pins.rpigpio.RPiGPIOFactory())
We basically overwrite the close function of the PinFactory and use that one for creating the LED.