Lua creator Roberto Ierusalimschy just gave a talk about "Functions in Lua" and starts his talk explaining that our (conversational) language has still not evolved a precise way to articulate all these different ideas about functions.
On his first slides, he shows the words, "anonymous functions", "lambdas", "closures", "function values", and "first-class values", and shows how each has subtly different meanings/implications and tends to take us down different lines of thinking which affects the conversation you are trying to have with somebody else.