There can't be any un-gapped clips in any of the other tracks for Sequence>Close Gap to work. If your sequence has anything other than the gapped audio in it, it won't work.
- One quick way around this is to select all of the clips in the audio track where the gaps are (and only those clips) and select Clip>Nest.
- That puts them in their own sequence.
- Open that nested sequence and go to Sequence>Close Gap.
- Select all of the un-gapped audio and copy it.
- Go back to your original sequence, delete the nested sequence and paste the un-gapped audio.