It's "closure" in the mathematical sense, not in the functionnal programming sense. It would have been clearer with the full term: "transitive closure" instead of just "closure".
The latter being of course an instance of the former :) Your lambda uses a reference to a local variable `x`, so go follow it and transitively capture all its references, repeat until you've closed over all such transitions.
let a = // whatever
let b x = a + x;
let f x = x + b x; // closes over b and transitively over a