If you close a sticky - that's like deleting it (there is, by default, an dialog box that warns you of this and gives you the option to save it as a text file).
If you want to try to look in a file somwhere, I believe the stickies database is stored in something like ~/Library/Stickies/ or ~/Library/Application Support/Stickies/ or something like that (a quick search of your library folder should find this no problem) - but again, you'd probably have to open the file in a text editor and hope that your old note's still there. Normally, it's just gone when you close (i.e. delete) the sticky note.