Any (real analytic) developable surface must be (a subset of) a plane, a cylinder, a cone, or a tangent developable (the surface of tangent lines to a smooth curve in space — this surface will have a cuspidal edge along the curve). If by closed you mean a compact surface without boundary, there is none. Every developable surface must be ruled, and ruled surfaces are never compact.
See page 61 and Exercise 12 on page 42 of my differential geometry text.