The anonymous routine (blessed or not) refers to a lexically-scoped variable in its enclosing scope. That lexically-scoped variable is magically kept alive (in the anonymous subroutine) after that enclosing scope has been exited. That is what makes an anonymous subroutine a closure.

sub makeAnonymousSub {
    sub { print "I am not a closure\n" }
}

sub makeClosure {
    my $x = shift;
    sub { print "I keep $x alive, thus I'm a closure\n" }
}
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Are we looking at the same thing? The example jeffa posted has this anonymous routine in it:

print $foo->print_me(sub {ucfirst shift}), "\n";
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It's not a closure.

Sort of. To make a closure, you have to refer to lexical variables that are declared outside of the scope of the current sub. That's the definition of a closure.