I have not had a chance to listen to many different headphones, but among the few I have heard I get a clear impression that open-back phones have a different sound signature to close-back, with open back sounding more "airy" and spacious. Yes, a silly audiophile word, I know, but it seems to fit. No headphones / IEM sound "right" to me compared to speakers, but open-back phones have much less of this "in your head" sound. It's still in my head, but not as strongly. The open phones sound more "open", and the closed ones sound more "closed".
I've tried closing the back of my Hifiman HE-400 with my hands, and I indeed got that closed-back sound immediately. With the exception that closed-back phones have correct frequency response, while closing the open-back phones ruins the tonal balance, but that "closed" sound is clearly emulated with this simple experiment.
Do expensive closed phones sound less closed? The ones I listened to the most are German Maestro GMP 8.35D, not expensive phones, but pretty good for the price. Had them for years.
GMPs have great bass, but open-back Hifiman HE-400 reproduce deep base much better still.
I also have Dunu DN-1000 hybrid IEMs (one armature + one dynamic driver), they also produce this "closed" sound.