PERF: Fix reference leak in read_hdf
- [ ] closes #37441  (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

With my really hacky benchmark, I get,

```

       before           after         ratio
     [bb18847e]       [b5ddc810]
     <main>           <fix-hdf-memusage>
-            6.6M                0     0.00  io.hdf.HDF.mem_read_hdf_index('table')

SOME BENCHMARKS HAVE CHANGED SIGNIFICANTLY.
PERFORMANCE INCREASED.
```

Thanks @lithomas1 