The Geany "project" concept is more lightweight than that of full fat IDEs like Visual Studio or Eclipse. It is basically a way of remembering multiple different file sets that the user is working on and allowing switching between them. So closing a file removes it from the "project".
The various project plugins provide additional functionality that is closer to full fat IDEs, Project Organiser for example assumes all files in the project directory are in the project and loads symbols for them even if they are closed, so inter-file declarations should be found. Probably the first thing you should try.