Unfortunately, a late closing fee is not deductible.

However, the following expenses are deductible at closing:

• Daily mortgage interest from the day you closed to the end of the month.  You will see this on your closing document, but it may not be included on your 1098 mortgage statement.
• Real estate taxes charged to you
• Points (sometimes called origination fees and expressed as a percentage of the amount borrowed. On a refinance they need to be amortized over the life of the loan unless the points were used to improve your main home 
• Mortgage insurance, if paid