This has been previously asked. The reason is the same as why editing is still allowed; a question in a closed state is not dead. That fate is covered by deletion.
A closed question usually stays closed, and may eventually be deleted. However, it may also be reopened. For example, this can happen if the question is edited to become a viable question, or if there is disagreement about the merits of the closure and users vote to re-open.
Editing enables a question to be improved, so it is allowed. Comments enable queries or challenges about the closure to be made, so they are enabled.
It is not intended that comments on a closed question be used to follow up the question content itself. In that sense, the OP in your example is using the system incorrectly. In this case, he is clearly new, inexperienced, and also likely frustrated at his treatment here, which has been... brusque.