A user who attempts to cast a close vote on a bountied question sees this message:
That's a very discouraging, final-looking message. The official guidance for the situation where a bountied question needs to be closed is that a moderator needs to be involved, which users accomplish by raising flags. That would be more likely to happen if the message gave the user a hint:
This question has an open bounty. Please [flag for moderator attention] if you think the question should be closed.
The text [flag] could be an active link --- or not, since the regular flag menu is right nearby.