I had asked Citi a similar question with respect to the Honors Reserve card being tranisitioned to Amex, they told me as long as I purchased it with a Citi cc, the warranty would apply. They didn't say anything about the card having to remain open, and I didn't see anything in the T&C that requires the card to be remain open.

I suppose when you cancel your Costco membership, you could ask them to convert the card to a no-fee card, just in case.