The invention discloses a closed circulation well and a development method of dry hot rock. The method comprises the following steps: choosing a target geothermal reservoir stratum, and determining the diameters of a vertical borehole and a branch borehole according to a discharge parameter and a pressure loss parameter; drilling the vertical borehole, and injecting cement paste to carry out wellcementation after enabling a first casing pipe to enter; drilling at least two branch boreholes; injecting the cement paste to carry out the well cementation after second casing pipes enter the branchboreholes; enabling a vacuum thermal insulation pipe to enter, wherein the vacuum thermal insulation pipe is successively connected with a heat exchanger, a circulating pump and a circular space between the vacuum thermal insulation pipe and the casing pipes through a ground pipe complex; and starting the circulating pump, wherein circulating fluid successively passes through the ground pipe complex, the circular space between the vacuum thermal insulation pipe and the casing pipes, the vacuum thermal insulation pipe and the ground pipe complex and then enters the heat exchanger to carry outcircular heat exchange. The method can realize the efficient and continuous exploitation of the dry hot rock at a relatively low cost.