Why is a Deferred User Story part of the Closed group?
One answer
If a work item has been Deferred, then you don't want to worry about it right now. You don't want it to be listed in your backlog, so it won't distract you from the work items you should be focusing on for the current release.
"Deferred" is really an in between state. Sometimes you want to treat it like it is open, such as when you are doing long-term planning. Sometimes you want to treat it like it is closed, such as when working on the current release. Adding a new group in addition to Open and Closed would add more complexity without enough benefit. So the Deferred state was put in the Closed group for lack of a better place.
You should have a query that finds all Deferred work items, so you can consider reopening them when doing long-term planning. Or don't use the Deferred state at all and just schedule work items for a future release when you decide to not work on them now.