That's really surprising and interesting. We tend to think of the distance of each planet's orbit from the sun. In those terms, Venus's orbit is the closest to Earth's orbit. Average distance, however, accounts for the fact that two planets can be on opposite sides of the sun. In terms of average distance, Mercury is "closest" to every planet in the Solar System, e.g. Mercury's average distance from Mars, Jupiter, or whatever is less than that of any other planet.