It is impossible to do it in QuiskTime.
The best option I found is not to use QuickTime anymore and use VLC instead, steps:
1. Define VLC as default player for all video formats including MP4
2. Open VLC, Delete recent history in File>Open Recent>Clear
3. Close VLC, Open VLC, go to Preferences>Show All>Interface>Main Interfaces>macos>Keep Recent items (disable)
Voilà, like a charm