This issue was raised last year here, but it still happens when filtering close votes on obscure tags.
For example the CUDA tag doesn't have a lot of questions, and it has even less close votes, and right now I suspect there are no questions with close votes that I haven't already voted on or reviewed. If I filter for just that one tag, I get a 20 second delay followed by:
I guess this is a timeout from a very slow query. In the broad scope of things it isn't a big deal, but if you are interested in "curating" a number of obscure tags on Stack Overflow (which is about all I do here), it makes things a lot more annoying than it probably should.