Can't you make me turn off the activity when I press OK in the dialog?

@Override
public void onBackPressed() {
    new AlertDialog.Builder(this)
        .setIcon(android.R.drawable.ic_dialog_alert)
        .setTitle("Closing Activity")
        .setMessage("Are you sure you want to close this activity?")
        .setPositiveButton("Yes", new DialogInterface.OnClickListener()
    {
        @Override
        public void onClick(DialogInterface dialog, int which) {
            finish();    
        }

    })
    .setNegativeButton("No", null)
    .show();
}