In the "Votes Cast" section of my profile, my vote to close this question is annotated with "(deleted)":
However, the close vote does not appear to have been deleted: it successfully closed the question:
Why was this vote marked as "(deleted)"?
If the vote was deleted my some internal process after the question was closed and the closers were recorded, I call that a bug. Regardless of what happens internally, it's irrelevant to users if close votes are deleted after they have taken effect.