Handling the window closing event with WPF / MVVM Light Toolkit

I'd like to handle the Closing event (when a user clicks the upper right 'X' button) of my window in order to eventually display a confirm message or/and cancel the closing.

I know how to do this in the code-behind: subscribe to the Closing event of the window then use the CancelEventArgs.Cancel property.

But I'm using MVVM so I'm not sure it's the good approach.

I think the good approach would be to bind the Closing event to a Command in my ViewModel.

I tried that:

<i:Interaction.Triggers>
    <i:EventTrigger EventName="Closing">
        <cmd:EventToCommand Command="{Binding CloseCommand}" />
    </i:EventTrigger>
</i:Interaction.Triggers>

With an associated RelayCommand in my ViewModel but it doesn't work (the command's code is not executed).