Add note on the danger of closed indices

Prior to elastic#33888 it is dangerous to keep closed indices in your cluster
long-term: Elasticsearch does not maintain their shard copies so they
tend to get lost as the cluster migrates to new nodes. This risk isn't
documented today. This commit addresses that gap.

docs/reference/indices/open-close.asciidoc

@@ -7,6 +7,15 @@ for maintaining its metadata), and is blocked for read/write operations.
 A closed index can be opened which will then go through the normal
 recovery process.
 
+IMPORTANT: {es} will not rebuild any copies of shards of closed indices that
+are lost when a node leaves your cluster. This means you will should expect to
+lose the data held in closed indices if you replace the nodes in your cluster
+over time. Because of the risk of data loss it is best to avoid keeping closed
+indices in your cluster for a long period of time. You should instead prefer to
+<<frozen-indices,freeze>> indices that you want to keep available for
+occasional searches with low overhead, and store any other indices outside the
+cluster using a <<modules-snapshots,snapshot>>.
+
 The REST endpoint is `/{index}/_close` and `/{index}/_open`. For
 example: