The Open Closed Files command in the Project menu is only available if the active project is managed and it has one or more closed files. A "closed file" in a managed project is a file that was closed but is still part of the project. The Open Closed Files command opens all such files in the active project.
If you want to open some, but not all, closed files in a managed project, use the Files Panel. If you want to search through all files in a managed project, there is no need to open closed files. Simply turn on the Closed Files search option to search through all files that are part of the project, whether they are open or closed.
The Open Closed Files command is not available for unmanaged projects, because closing a file in an unmanaged project automatically removes it from the project. For managed projects, the Open Closed Files command does not reopen files that were removed from managed projects with Project|Remove From Project and does not reopen outside files that were not part of the project when they were closed. Such files may still be listed in the Project|Add to Project submenu. You can use that submenu to reopen them.
Project|Remove From Project
Project|Remove Closed Files
Project|Close Outside Files
Project|Close All Files