Why are my zuchini female flowers staying closed all day and night?
Because they have served their purpose.
As you can see, the fruit is already half-grown, which means that the flower end is no longer needed for the fertilization of the seeds. It will fall off soon, just like the petals on other fruit, like apple or cherry blossoms.
When a fresh zucchini flower isn’t yet pollinated, it will close up at night and open up during the day, protecting the pistil inside at night and offering it to pollinators during the day. That phase is over (successfully, as can be seen by the forming zucchini in the photo), so the plant has no need for the flower any longer and will discard it.