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 a question to spare the mods' time is *very* unusual. Consider editing and undeleting your question - it might gain enough reopen votes to go back into business.