Coroutine Changed local variable behaviour in lambda, some confused!

These are two script snippets:

 using UnityEngine;
 using System.Collections;
 using System.Collections.Generic;
 
 public class TestScript : MonoBehaviour {
 
     private delegate void XXXHandler();
     private event XXXHandler xxxEvent = null;
     private List<IEnumerator> list = new List<IEnumerator>();
 
     // Use this for initialization
     void Start () {
         StartCoroutine(StartCall());
     }
 
     private void Call(XXXHandler handler)
     {
         xxxEvent += handler;
     }
 
     private IEnumerator StartCall()
     {
         for (int i = 0; i < 5; i++)
         {
             int index = i;
             Call(() => { Debug.Log("i: " + index); });
         }
         xxxEvent();
         yield return null;
     }
 
     // Update is called once per frame
     void Update () {
   
     }
 }

The result here is : 4,4,4,4,4

Now I put code in StartCall() To Start()， others stay the same:

using UnityEngine; using System.Collections; using System.Collections.Generic;

public class TestScript : MonoBehaviour {

 private delegate void XXXHandler();
 private event XXXHandler xxxEvent = null;
 private List<IEnumerator> list = new List<IEnumerator>();

 // Use this for initialization
 void Start () {
     for (int i = 0; i < 5; i++)
     {
         int index = i;
         Call(() => { Debug.Log("i: " + index); });
     }
     xxxEvent();
 }

 private void Call(XXXHandler handler)
 {
     xxxEvent += handler;
 }

 private IEnumerator StartCall()
 {
     yield return null;
 }

 // Update is called once per frame
 void Update () {
  
 }

}

The result is: 0,1,2,3,4.

In my sense, the second result should be right. However, Coroutine changes everything here. I want to know why and what I need to do if I want use the local variable feature in Coroutine?