The bug occurs with the latest version of Jenkins (2.64) and all the plugins. Whenever you create a Closure in a loop the latest instance of the iteratee will be used when the closure is executed.
This happens with all loops: for(int i = 0), for(Item item: items), each, collect, etc.

Minimal example, reproducing the issue:

List<String> values = ['value1', 'value2']

// Works correctly, prints 'value1' and 'value2'
values.each { value -> echo value }

// Doesn't work correctly, prints 'value2' and 'value2'
List<Closure> steps = values.collect { value -> return { echo value } }
steps.each { step -> step() }

This bug is usually encountered when trying to create parallel steps out of a collection. But since I was able to reproduce the issue without using 'parallel', I hope this might shed new light on the underlying problem.