Message ferry is a controllable mobile node with large capacity and rechargeable energy to collect information from the sensors to the sink in wireless sensor networks. In the existing works, route of the message ferry is often designed from the solutions of the Traveling Salesman Problem (TSP) and its variants. In such solutions, the ferry route is often a simple cycle, which starts from the sink, access all the sensors exactly once and moves back to the sink. In this paper, we consider a different case, where the ferry route is a closed walk that contains more than one simple cycle. This problem is defined as the Closed Walk Ferry Route Design (CWFRD) problem in this paper, which is an optimization problem aiming to minimize the average weighted delay. The CWFRD problem is proved to be NP-hard, and the Integer Linear Programming (ILP) formulation is given. Furthermore, a heuristic scheme, namely the Initialization-Split-Optimization (ISO) scheme is proposed to construct closed walk routes for the ferry. The experimental results show that the ISO algorithm proposed in this paper can effectively reduce the average weighted delay compared to the existing simple cycle based scheme.