You placed your code to close the form in the form's error handler. If
there is no error, the code doesn't run. Plus, even if there was an
error, you placed it after the Resume Exit_cmdNo_Click, so your code
would never get to it anyway.

Instead, place the code in the Report's Close event. when the report
closes it will then close the form:
DoCmd.Close acForm, "Name of Form"

Change your code to this:

Private Sub cmdNo_Click()
On Error GoTo Err_cmdNo_Click

   Dim stDocName As String

   stDocName = "SelectedLabels"
   DoCmd.OpenReport stDocName, acPreview
   DoCmd.Close acForm, Me.Name

Exit_cmdNo_Click:
   Exit Sub

Err_cmdNo_Click:
   MsgBox Err.Description
   Resume Exit_cmdNo_Click

End Sub

Where you had the close code before it would only reach that
point if you had an error. You need to move it somewhere above
the "Exit Sub" line. Also, the line I posted explicity tells Access
I want to close a form and I want to close *this* form running the
code. I usually enter the name of the form as well so there are no
mistakes.