The World Boxing Association (WBA) champion made a fourth successful world title defence by technical unanimous decision after a cut above McCloskey's left eyebrow, caused by a clash of heads, prompted referee Luis Pabon to stop the fight in the sixth round in front of 18,000 supporters at the MEN Arena.
Khan began the week losing an estimated one million pounds after a TV dispute ended in UK broadcaster Sky TV refusing to screen his fight, but the Englishman stayed on course for bigger pay-days.
But it was an anti-climatic end to a fight that was just coming to the boil and McCloskey's corner were furious that the Northern Irishman was not allowed to continue.
It was the 25th win of Khan's career with just one defeat while McCloskey suffered the first blemish on his record, dropping to 22 wins and one defeat.
The 2004 Olympic silver medalist won by scores of 60-54 on all three judges' scorecards, after a clash of heads.
The Northern Irish challenger entered the ring unbeaten European champion and it seemed like he was the home fighter with over 6,000 traveling fans roaring him on.
McCloskey, 31, cleverly kept out of range for most of the opening round to avoid Khan's customary quick start.
Khan had sparred with Filipino Manny Pacquiao -- the world's best pound-for-pound boxer -- and claimed it was perfect preparation to face another southpaw in McCloskey.
And Khan began finding McCloskey more in the second as McCloskey failed to deal with the champion's hand-speed.
McCloskey had stopped five of his previous five opponents but Khan was a steep step up in class.
Yet the challenger did not look out of depth in a see-saw third round, landing a left flush on the jaw from close range.
Khan shook McCloskey with a right in the fourth and increased his attacking bursts in a lively fifth round.
McCloskey survived a furious assault from Khan in the sixth before a clash of heads opened up a gruesome two-inch cut stretching from the forehead to left eyebrow.
Referee Pabon called in the ringside doctor, who immediately called for the fight to be stopped, with the judges' scorecards of 60-54 deciding the outcome by technical unanimous decision.
The crowd booed as the scores of 60-54 from all three judges were read out and there were angry scenes in the ring.
