GitLab closes these issues automatically only when the destination
branch is the default branch, i.e. `master` currently:
https://docs.gitlab.com/ee/user/project/issues/managing_issues.html#closing-issues-automatically

I'm wondering if we should make the `stable` or `devel` branch our default
branch (assuming we merge more branches into these branches than into `master`),
but for now let's workaround the problem via documentation.