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This study introduces a new scheme for steganalysis of the least significant bit (LSB) embedding, based on the idea of closure of sets (CoS), which is independent of the type of cover signal, applicable to both spatial and transform domains. The CoS is referred to as some special subsets that could be found in a common space whose elements relate to higher-order statistical properties of the signal. The proposed scheme is used for steganalysis of the LSB steganography of greyscale TIFF and JPEG images and audio signals, employing a set of accurate and monotone features that are extracted based on the CoS definition. It is shown that significant improvement to the detection accuracy in steganalysis is achieved using the proposed scheme, particularly at low embedding rates.