The related link on Meta.SO posted by Mark Kirby explains how to get bounty-attached questions closed. The proper way to get them closed is to flag for moderator attention.
The system is designed so these bountied questions can't be closed. Why this is the case is not explicitly defined anywhere (the closest thing I can find is "How does the bounty system work?" on Meta StackExchange, and it doesn't clearly give a 'why').
Speculating, though, it's likely done this way because closing a question will prevent new answers from being created on it, which could make it an unfair advantage for existing answers on the question when the question gets closed. Answers could be added, and then the question voted to be closed, which would then introduce the evil that is that one answer (if it's the only one there when closed) would be the only one eligible for a bounty reward.
If you wish to close a question that's already bountied, flag it for moderator attention, with details as to why you feel the close vote is necessary. We can take a look at it, and if necessary close it.