diff --git a/paramiko/agent.py b/paramiko/agent.py
index 67d58c4..3bb9426 100644
--- a/paramiko/agent.py
+++ b/paramiko/agent.py
@@ -55,6 +55,7 @@ class Agent:
         @raise SSHException: if an SSH agent is found, but speaks an
             incompatible protocol
         """
+        self.conn = None
         self.keys = ()
         if ('SSH_AUTH_SOCK' in os.environ) and (sys.platform != 'win32'):
             conn = socket.socket(socket.AF_UNIX, socket.SOCK_STREAM)
@@ -87,7 +88,8 @@ class Agent:
         """
         Close the SSH agent connection.
         """
-        self.conn.close()
+        if self.conn is not None:
+            self.conn.close()
         self.conn = None
         self.keys = ()