Closing needs to be swift - Stack Overflow gets 4,000 new questions a day, most of them crap (I do not necessarily mean your question; I haven't seen it). Not being able to close crap straight away would create chaos.
But I agree a closed question doesn't need to be deleted straight away, and telling an OP to delete a question to spare the mods' time is very unusualpretty offensive if the question was asked in good faith. Consider editing and undeleting your question - it might gain enough reopen votes to go back into business.