That said, a closing, anytime, is always a good thing, but lender's packages can take longer to be sent out and money wires longer to arrive, so it's sort of like trying to avoid rush hour traffic.
The difficulty with the last day of the month is that many contracts, for whatever reason, are written to close on the last business day of the month. This can be problematic because of the potential for an excessive number of closing scheduled for the same time.
Another point worth noting is that if you are financing, it's always wise to schedule your closing date a few days in advance of the termination of your guaranteed loan interest rate. By scheduling the closing on the final date, you are taking a great risk of losing an good interest rate because of not being able to close on the specified date.
Hope this is helpful,