To celebrate that release, here's an interview with Mr. Romanek (warning, possibly not safe for work). It's pretty extensive, and covers many aspects of his career, including the Closer video. Here's a quote from the interview:
Mark Romanek: We did use a slightly out of date film stock but it was still a contemporary film stock. They had stopped making it three years before and we found some of it. All the new color film stocks have this T-Grain, like little Ts that are interlocking. The film stock we used had the original old granular grain. The new stocks are just really modern looking, really sharp, really contrasty, very fine grain. We didn't want that.
More info on Closer, Hurt, and other aspects of Romanek's career are at the link!