When a bounty is active on a question, that question can't be closed. There's currently no restriction on making such a question protected, though:
Should we remove the option of protecting questions with open bounties? Granted, since existing users can still answer protected questions, protection isn't as big of a deal as closure. Still, I could imagine a new user showing up with the answer — maybe even arriving because a current member thought "I don't know this, but I bet I know someone who does" and sending a link — and being frustrated at not being able to answer. Just as importantly, I can't think of any way that removing protection in this limited case could be abused.