I'm guessing your wizard is named 'close.wizard' and it doesn't have any required fields without default values.

In that case, try the following code:

def display_error_message(self, cr, uid, error, context=None):  
    clw_id = self.pool.get('close.wizard').create(cr, uid, {}, context=context)   
 
    return {        
        'name': _("Error"),        
        'context': {'error': error},        
        'view_type': 'form',        
        'view_mode': 'form',        
        'res_model': 'close.wizard', 
        'res_id': clw_id,
        'views': [(False, 'form')],        
        'type': 'ir.actions.act_window',        
        'target': 'new',    
    }