何故ドキュメントを読まないのだ。

http://msdn.microsoft.com/en-us/library/ms741540(VS.85).aspx
The FD_CLOSE message is posted when a close indication is received for
the virtual circuit corresponding to the socket. In TCP terms, this means
that the FD_CLOSE is posted when the connection goes into the TIME WAIT or
CLOSE WAIT states. This results from the remote end performing a shutdown
on the send side or a closesocket. FD_CLOSE should only be posted after all
data is read from a socket, but an application should check for remaining
data upon receipt of FD_CLOSE to avoid any possibility of losing data.