What does ResultSet actually contain? Is it the actual data of the result or some links to databases? If it is the actual data then why can't we access it after connection is closed?

A ResultSet is an interface. Its implementation depends on the driver and hence ,what it "contains" depends partially on the driver and what the query returns.

For example with the Odbc bridge what the underlying implementation layer contains is an ODBC result set. A Type 4 driver executing a stored procedure that returns a cursor - on an oracle database it actually returns a cursor in the databse. The oracle cursor can however be processed like a ResultSet

would be from the client. Closing a connection closes all interaction with the database and releases any locks that might have been obtained in the process.