It looks like this is fixed in https://closedxml.codeplex.com/SourceControl/changeset/fdeab2de14a4cc0db3a799e01439bbfb0599dbc8 and that should be included in version 0.76.0 as far as I can tell from the source.
I quick look in the code finds no other obvious spots that wouldn't be thread safe when you work with different documents on each thread. However if you call different methods on the same document from different threads I wouldn't be surprised if you could mess up internal state in that document.
I quick look in the code finds no other obvious spots that wouldn't be thread safe when you work with different documents on each thread. However if you call different methods on the same document from different threads I wouldn't be surprised if you could mess up internal state in that document.