Not really supported in gpiozero.

There is an "ongoing" discussion over here:
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.