Remember that a curve is a segment if its length is equal to the distance between the endpoints; so
$$ \mathbf{seg}(p) = \\{ v \in T_p M : d(p, \exp_p v) - |v| = 0 \\} = f^{-1}(0)$$
where $f : T_p M \to \mathbb R$ is defined by $$f(v) = d(p, \exp_p v) - |v|.$$
Since the exponential map, the distance function and the norm are all continuous, $f$ is continuous; so the segment domain is the pre-image by a continuous map of a closed set, and is thus closed.