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 Remove Closed Files command removes all such files from the the active project.
If you want to remove only some closed files from the project, use the Files Panel.
Files that are removed from a project are added to the File|Open and Project|Add to Project submenus that list recently closed files, unless the files were opened in bulk withProject|Open Folder or a similar command.
Project|Open Closed Files
Project|Close Outside Files
Project|Close All Files