Have you tried restarting the phone? You should also make sure that the phone's firmware is completely up to date, as are all the apps.
Also, some apps may be set up, themselves, to not work with this closing option. Sneaky I know, but the do those kinds of things. If this is the case, you are going to have to figure out which app is the cause and make sure to close that one first before trying to use the close all option.