In the following example closure isn't detected:
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import std.stdio;

void copyDel()(out void delegate() dest, void delegate() src)
{ dest = src; }

void g(out void delegate() del)
{
    int i;
    void f() { writefln("&i: %X (should be in heap)", &i); }
    copyDel(del, &f);
}

void main()
{
    int j;
    writefln("A heap address:  %X", new int);
    writefln("A stack address: %X", &j);
    void delegate() del;
    g(del);
    del();
}
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Output:
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A heap address:  A01E70
A stack address: 12FE64
&i: 12FE50 (should be in heap)   <- not in heap
---