Does it display a message saying "This question was deleted by a moderator, and cannot be undeleted?" If it does that, then it's working the way it is supposed to. By offering the link and then providing an error message, you are teaching people how the system works, instead of confusing them by dimming the link for mysterious reasons.
To the contrary, I'm always, (well every now and then, but enough to notice and search for a bug on SE.Meta), clicking these things because:
It's clickable, and the deletion seems needless.
To avoid a needless click the user must to learn and remember which users are moderators. There are so many SE communities, whose ranks may change, it's impossible for users without photographic memories to remember who's moderating what.
Good moderation is transparent, usually users shouldn't need to know who the moderators are, anymore than vacationers travelling cross country need to know the names of the mayors in every town they find lodging.
To forbid entry to some building local governments don't leave its front door unlocked, so that people blithely open that door, which is then obstructed by a 3-foot door chain, hanging from which is a sign, "CLOSED: by order of Mayor." Instead The doors are locked, and barricade tape is placed before the door, (or entrance), possibly with explanatory signage.
Gray out the undelete link.
Next to the grayed out link in parentheses write: closed by moderator, or if that's too busy, put a clickable M or "No Symbol" which when clicked offers more information.