What version of Go are you using (go version)?

go version go1.11 openbsd/amd64

Does this issue reproduce with the latest release?

Yes.

What operating system and processor architecture are you using (go env)?

GOARCH="amd64"
GOBIN=""
GOCACHE="/home/stuart/.cache/go-build"
GOEXE=""
GOFLAGS=""
GOHOSTARCH="amd64"
GOHOSTOS="openbsd"
GOOS="openbsd"
GOPATH="/home/stuart/go"
GOPROXY=""
GORACE=""
GOROOT="/home/stuart/.go/1.11"
GOTMPDIR=""
GOTOOLDIR="/home/stuart/.go/1.11/pkg/tool/openbsd_amd64"
GCCGO="gccgo"
CC="gcc"
CXX="g++"
CGO_ENABLED="0"
GOMOD=""
CGO_CFLAGS="-g -O2"
CGO_CPPFLAGS=""
CGO_CXXFLAGS="-g -O2"
CGO_FFLAGS="-g -O2"
CGO_LDFLAGS="-g -O2"
PKG_CONFIG="pkg-config"
GOGCCFLAGS="-fPIC -m64 -fmessage-length=0"

What did you do?

Made a connection attempt via a SOCKS5 proxy to a port on which a host wasn't listening.

package main

import (
        "log"
        "time"

        "golang.org/x/net/proxy"
)

func main() {
        /* Create a dialer to localhost:5555 */
        d, err := proxy.SOCKS5("tcp", "localhost:5555", nil, proxy.Direct)
        if nil != err {
                panic(err)
        }

        /* Try to connect 10 times to a non-existent listener */
        for i := 0; i < 10; i++ {
                c, err := d.Dial("tcp", "127.0.0.1:1234")
                if nil != c {
                        if err := c.Close(); nil != err {
                                log.Printf("Close: %v", err)
                        }
                }
                if nil != err {
                        log.Printf("Dial: %v", err)
                        continue
                }
        }

        /* Give us time to check the open file descriptors */
        time.Sleep(time.Hour)
}

What did you expect to see?

The underlying connection to the SOCKS5 server closed when the connection via the server closed.

What did you see instead?

File descriptor leakage due to the underlying connection not being closed.

This seems to occur because if the underlying call to Dialer.DialWithConn fails (https://github.com/golang/net/blob/master/internal/socks/socks.go#L226), the net.Conn made by Dialer.Dial caller isn't closed before the error is returned to the caller.