I don't think it is appropriate to answer closed questions into the comments as it happens here. Can (or should) we do something with such things?
Short of locking the question (which is a moderator-only action, and is rare), we cannot prevent comments from being added to a non-locked, non-deleted question.
But we can delete the question. In the specific case, auto-deletion should take care of things; when it does not apply, one needs 10K delete votes.
Generally, the cleanup of closed questions has been going better in second half of this year than in the past. Compared to the statistics I gave in How to repair the close-delete pipeline?, the deletion activity more than doubled (there are 300 active delete votes right now, compared to 125 back then). The number of questions on the death row has not grown very much, indicating that most closed questions get taken care of: improved and reopened, or deleted.
You say you don't think it is appropriate to answer closed questions into the comments. But it is also not appropriate to close a question before the OP is given the chance to improve it. The question you link to is a perfect example of that.