FWIW, this appears to work only if the file was closed by using ⌘W or clicking the "X" in the active tab. If you close a file by clicking the "X" in an inactive tab, then hit ⌘T, you don't get the file you just closed, you get the last file that was closed using one of the aforementioned methods...
Or, to put it more simply, you get the last file that was "in front"/ active/in view/had-focus and was closed.
... though I suppose the multi-slash at the end of that sentence isn't all that simple :-)
-steve