I'm trying to figure out who all these closers are that the Pirates have had that have failed miserably elsewhere.
2002/03- Mike Williams (fell apart in 2003 with Pittsburgh, out of baseball after that year, the poster child for why you shouldn't wait too long to trade a closer)
2004/05- Jose Mesa (successful closer before Pirates, was good in 2004, struggled in 2005 but refused a trade, pitched decently in Colorado at age 40 before a terrible 2007 season)
2006- Mike Gonzalez (traded to Atlanta, suffered an elbow injury, had a 2.42 ERA in 2009 and has since kicked around as a LOOGY)
2007/09- Matt Capps (was horrible in 2009, ended up redeeming himself in Washington after being non-tendered by the Pirates before getting traded to Minnesota)
2010- Octavio Dotel (traded to LA where he pitched well, then pitched well for 3 more seasons but may be done this year)
2011/12- Joel Hanrahan
So far the set of closers who were great in Pittsburgh but terrible everywhere else is at 1 with Hanrahan. Gonzalez ended up geting hurt; a few others continued to pitch well elsewhere and 1 wasn't wanted by anyone else. The reason why the Pirates have generally had good closers is because it isn't that hard for a reliever to catch lightning in a bottle for a year, and even the worst teams will have at least 30 save opportunities if not more.