Assuming you want to hook amxx menus as well, the above suggestion will not work alone.
What you can do is combine that with orpheu. Hook amxx show_menu, Menu:: Display and Menu::Close, there is no alternative.
If you need that for VGUI menus it's hacky. You'll have to hook the message
VGUIMenu, dispatch a Close Event on the current menu and Display Event on the menu that is being displayed.
There may be an alternative but you will have to explain what you are trying to do and why you need that.