Where are you looking for this?
If it's filters, then this is probably the correct behaviour - filters look for issues, and if they're not finding them because the filter excludes closed issues, it's not going to pick up a sprint because none of the issues in the result set are in it.
If it's in an Agile function somewhere, then it's still possibly correct, for a slightly different reason - there's nothing to do in the sprint.
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