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That's very crazy I haven't seen that happen before?!
Any spending that can possibly be viewed by Citi as unusual (e.g. persistent large amounts)? Any large deposits to bank accounts (if you have with them)?
When you close the AA card which you got the bonus, was it before or after the annual fee (but even if after the annual fee, you only had to pay $99 -- if it's the Platinum Select card -- while Citi had to pay 60--75k points so Citi would still be on the loss)?
But still, if it's Citi it could be anything... you know their IT could use some improvement and they might have some bugs with their risk analysis algorithm.
There appears to be no credit-related reason for them to do this. It is also a clue that no reason was given to you that it is not credit related, as those have AA notifcation requirements.
I would look for other reasons.
I would say "no loss there." Citi is a terrible bank. Horrible customer service, pathetic IT, and faulty fraud systems/policies.
I have 6 active citi AA cards and they haven't shut me down. I don't think you closing one card to avoid an annual fee is the reason.