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 to spare the mods' time is pretty 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.