Devices connected to a hotspot have no special needs unless you're currently downloading data (don't disconnect in the middle of a download). So just turnoff the device's wifi or leave it on and leave the area. It's the same as "disconnecting from a router" - because that's all a hotspot is, a router.
(If you want to disconnect someone else's device from your hotspot [like a neighbor is using it without your permission], look around the hotspot to see where you can disconnect a device - then disconnect it. Don't worry whether he's downloading anything or not, that's going to be his problem.)