Actually - simply push 'ESC' should be enough to get the menu up, from which you can choose 'Exit Game'
Aternatively to 'ALT-F4' you could try 'ALT-ENTER' if you're running in fullscreen mode. This will put you into windowed mode, and you can then click the 'X' top right of the window.
PC basic controls:
Action Button
Jump Space
Interact F
Secondary Interact R
Stop Interacting F
Stow Item X
Drop Chest F
Move WASD
Look / Aim Mouse
Sprint Left Shift
Walk Left Ctrl
Dialogue Wheel G
Emotes Wheel Z
Item Wheel Q
Item Wheel Next Page F
Look at Equipped Map Left Mouse Button
Cycle Weapon Mouse Wheel
Primary Use Left Mouse Button
Secondary Use Right Mouse Button
Options Esc
Reputation / Voyages Tab
PC item hotkeys
Action Button
Draw Primary Weapon 1
Draw Secondary Weapon 2
Equip Fruit 3
Equip Cannonball 4
Equip Wood Plank 5
Equip Shovel 6
Equip Compass 7
Equip Spyglass 8
Equip Tankard 9
Equip Pocket Watch 0
Equip Lantern L
Equip Bucket B
Equip Instrument I
Text Chat T
PC sailing controls
Action Button
Map Table: Toggle Map Pin Left Mouse Button
Map Table: Pan WASD or Mouse
Map Table: Zoom In/Out Mouse Wheel or = and -
Adjust Sail Angle A/D
Adjust Sail Height W/S
Climb Ladder W/S
Aim Cannon Mouse or WASD
PC communication controls
Action Button
Push to Talk Left Alt
Open Dialogue Wheel G
Dialogue Wheel Next Set F
Open Emotes Wheel Z
Open Text Chat T
Zoom In/Out Emotes Mouse Wheel