On Android, you can override onBackPressed() to stop the sketch from quitting, but this stopped working when Android mode switched to using fragments because that method is in activity, not fragment. See this issue on GitHub for more information. However, it seems that @Andres implemented a fix just 12 hours ago, so this feature should be available for the next release of Android mode.
@GWAK as @calsign mentioned, the next version of the Android mode (4.0.2) will fix the handling of the back button. This version will be released soon, I will post here when is ready to download.
The new version of the mode (4.0.2) is ready! It should appear in the Contributions Manager soon, you can also download it manually from the releases page on GitHub.