I was not using the good flags.

Here is the solution :

import sys

from PyQt5.QtCore import Qt

from PyQt5.QtWidgets import (QApplication,QMainWindow,QInputDialog)

app = QApplication(sys.argv)

mainwindow = QMainWindow()

mainwindow.show()

window = QInputDialog()

window.setWindowFlags(window.windowFlags() & ~Qt.WindowCloseButtonHint)

window.exec_()

sys.exit(app.exec_())