adding whats new

Author: realead

doc/source/whatsnew/v1.4.0.rst

@@ -508,6 +508,7 @@ Groupby/resample/rolling
 - Fixed bug in :meth:`Series.rolling` and :meth:`DataFrame.rolling` not calculating window bounds correctly for the first row when ``center=True`` and index is decreasing (:issue:`43927`)
 - Bug in :meth:`GroupBy.nth` failing on ``axis=1`` (:issue:`43926`)
 - Fixed bug in :meth:`Series.rolling` and :meth:`DataFrame.rolling` not respecting right bound on centered datetime-like windows, if the index contain duplicates (:issue:`#3944`)
+- Fixed memory leaks in :func:`roll_quantile` and :func:`roll_median_c` (:issue:`#43339`)
 
 
 Reshaping