Often when I vote to close, I want to go back and check the comments on the question, to see if it's been improved, to comment further, or to answer the question.
It would be helpful to add a bit of a trail so I can find those questions again. I'm suggesting adding an event to the Activity page on the user profile, because this is the logical spot for the given action.
I realize the Activity page is public, but I don't see why this content couldn't be added only for the currently logged-in user.
An alternative would be to add a new tab on the user profile page that only lists current-user content, and is not shown publicly. I'm sure there are other events, data, or statistics that could be shown here as well, so I'm certain a new tab like this wouldn't be underutilized.
One thing that could be done instead of this is to always add a comment stating why I voted to close. This works well enough, but only some of the time -- for example, if there is already a vote to close as a duplicate and a comment with a link to that duplicate, I'm not going to add a comment myself if I have nothing to add aside from a close vote.
Another way to do it would be to favourite the question. This only works well to a point since questions that get voted to close don't necessarily end up being downvoted (i.e., for my "closed favourites," I couldn't just look at the last page of my favourites).
Related: Jon Skeet suggested that votes to close on your own questions be shown in the Recent Activity area, which is not what I'm requesting here.