Well, lets see what the docs say:
The function does not block and returns immediately. The request is scheduled, and its execution is performed asynchronously. The function returns a unique identifier which is passed by requestStarted() and requestFinished().

When the request is started the requestStarted() signal is emitted. When it is finished the requestFinished() signal is emitted.

If you want to close the connection immediately, you have to use abort() instead.