Here is a fairly good explanation.
A closure is created when you reference a variable in the body of a method from a delegate. Essentially, a class that contains a reference to the local variable is generated.
If the variable is constantly modified, when an external method calls the delegate, it may contain an unpredictable value, or even throw an exception.
For example, in an example like this:
foreach (string data in _dataList)
{
DoStuff (() => data);
}
The method () => data is always going to be the same method. if you store it, you don't know what happens when it's eventually invoked -- what will the value of data be at the time? Will it even be valid? This is especially dangerous if you use yield return.
A simpler example, without an iterator, is:
var x = 5;
Action f = () => Console.WriteLine(x);
x = 76;
f();
