When you interact with text-only Clozure CL, you're either in Terminal or in Emacs, running Clozure CL as a subprocess. When you load Cocoa or the graphical environment, the subprocess does some tricky things that turn it into a full-fledged Application, as far as the OS is concerned.

So, it gets its own icon in the dock, and its own menubar, and so on. It can be confusing, because standard input and output will still be connected to Terminal or Emacs, so you can still type commands to Clozure CL from there. To see the menubar you loaded, or the windows you opened, just click on the Clozure CL icon in the dock.