В своей деятельности вам нужно использовать onBackPressed ()
@Override
public void onBackPressed() {
//You'll put your code here, in my example below, i check if the user is sure
AlertDialog.Builder builder = new AlertDialog.Builder(this);
builder.setMessage("Are you sure you want to cancel?")
.setCancelable(false)
.setPositiveButton("Yes", new DialogInterface.OnClickListener() {
@Override
public void onClick(DialogInterface dialog, int which) {
YourActivity.this.finish();
}
})
.setNegativeButton("No", new DialogInterface.OnClickListener() {
@Override
public void onClick(DialogInterface dialog, int which) {
dialog.cancel();
}
});
AlertDialog alert = builder.create();
alert.show();
}