Strange effect of C# closures on garbage collector

Straight to the code

class Program
{
    private static WeakReference<EventHandler<EventArgs>> _noClosure;
    private static WeakReference<EventHandler<EventArgs>> _closure;

    static void Main(string[] args)
    {
        Init();
        GC.Collect();
        GC.WaitForPendingFinalizers();
        GC.Collect();
        EventHandler<EventArgs> target;
        Console.WriteLine(_closure.TryGetTarget(out target));
        Console.WriteLine(_noClosure.TryGetTarget(out target));
    }

    class C { public void Go() { } }

    private static void Init()
    {
        _noClosure = new WeakReference<EventHandler<EventArgs>>((sender, args) =>
        {
        });

        var s = new C();
        _closure = new WeakReference<EventHandler<EventArgs>>((sender, args) =>
        {
              s.Go();
        });
    }
}

The output I get from this code is

False
True

How on earth is this possible?

P.S. I came into this while trying to figure out how WeakEventManager works.