I'm looking for the set of matrices (name and properties if possible) which is closed under multiplication by another matrix.
Example:
a set of matrices S=$\{\mathbf{A}_1,\mathbf{A}_2,\ldots,\mathbf{A}_n\}$ and an external matrix $\mathbf{B}$ such that $\mathbf{B}\mathbf{A}_i=\mathbf{A}_j \quad\forall\, i,j \in \{1\ldots n\},~i \neq j$.
To amplify on Servaes's comment:
For any invertible matrix $B$, consider the following two sets:
$$ S_1 = \{0\}\\ S_2 = \{ \ldots, B^{-2}, B^{-1}, I, B, B^2, \ldots\}\\ $$
For each of these, we have $B\cdot S_i = S_i$. So the idea that there's such a thing as "the set" with this property is ill-founded.
For $B$ not invertible, $S_1$ is still a left-invariant set; there may be no others, however (as can be seen in the case where $B = 0$).