httperf does not recognize "Connection: close" headers, it assumes Web servers that claim to be "HTTP/1.1" to support persistent connections. Likewise, it assumes servers that claim to be "HTTP/1.0" do not support persistent connections.
From RFC2616 section 14.10;
HTTP/1.1 defines the "close" connection option for the sender to signal that the connection will be closed after completion of the response. For example, Connection: close in either the request or the response header fields indicates that the connection SHOULD NOT be considered `persistent' (section 8.1) after the current request/response is complete. HTTP/1.1 applications that do not support persistent connections MUST include the "close" connection option in every message.