Return the Closest Prime Number

JavaScript (ES6), 53 bytes

n=>(g=(o,d=N=n+o)=>N%--d?g(o,d):d-1?g(o<0?-o:~o):N)``

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Commented

n => (            // n = input
  g = (           // g = recursive function taking:
    o,            //   o = offset
    d =           //   d = current divisor, initialized to N
    N = n + o     //   N = input + offset
  ) =>            //
    N % --d ?     // decrement d; if d is not a divisor of N:
      g(o, d)     //   do recursive calls until it is
    :             // else:
      d - 1 ?     //   if d is not equal to 1 (either N is composite or N = 1):
        g(        //     do a recursive call with the next offset:
          o < 0 ? //       if o is negative:
            -o    //         make it positive (e.g. -1 -> +1)
          :       //       else:
            ~o    //         use -(o + 1) (e.g. +1 -> -2)
        )         //     end of recursive call
      :           //   else (N is prime):
        N         //     stop recursion and return N
)``               // initial call to g with o = [''] (zero-ish)

05AB1E, 5 bytes

Åps.x

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Inefficient for big numbers

Gaia, 3 bytes

ṅD⌡

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Rather slow for large inputs, but works given enough memory/time.

I'm not sure why D⌡ implicitly pushes z again, but it makes this a remarkably short answer!

ṅ	| implicit input z: push first z prime numbers, call it P
 D⌡	| take the absolute difference between P and (implicit) z,
	| returning the smallest value in P with the minimum absolute difference