Use of unassigned local variable `closest'

I am using this code in C# to determine the closest object to my pathfinding enemy with the tag “Player”

GameObject FindClosestEnemy() 
{
    GameObject[] gos;
    gos = GameObject.FindGameObjectsWithTag("Player");
    GameObject closest;
    float distance = Mathf.Infinity;
    Vector3 position = transform.position;
    foreach (GameObject go in gos) {
        Vector3 diff = go.transform.position - position;
        float curDistance = diff.sqrMagnitude;
        if (curDistance < distance) {
            closest = go;
            distance = curDistance;
        }
    }
    return closest;
}

I am getting this error
Assets/SimplePath/Examples/Code/Interaction_Chase.cs(62,16): error CS0165: Use of unassigned local variable `closest’

Set it to null, such that it has the possibility of returning null.