All the following are correct, they just have slightly different meanings:
A. The theatre is thought to be closing down soon - (The public rumour the theatre is going to close)
B. The theatre is thinking about closing down soon - (The owners of the theatre are considering closing the theatre)
C. The theatre wants to close down soon - (The owners of the theatre want to close it)
D. The theatre is closing down soon - (The theatre is certainly closing)
It is just a case of which stage of the closing down process it is so that it conveys the correct message. The sentence that most closely relates to your needs would probably be c, because it has not closed down yet, but it wants to.
Therefore, in this case, the best phrase would be:
That theatre wants to close down soon