Sometimes, a moderator will choose to close a thread and leave it visible rather than outright deleting it so it can serve as a notice and lesson to others on what not to do. That's why you can't delete closed threads as a member.
However, it is possible to PM the mods of the forum where the closed thread exists, and ask that they delete it for you. If there isn't an outstanding reason to keep it closed and visible, then they often comply and will remove the closed thread.