We prove that given a Weyl structure $D$ on a spin manifold $(M^n,g)$, the existence of a non-zero $D$-parallel spinor on $M$ implies that $D$ is closed for $n\ne4$. The same statement is true for $n=4$ if $M$ is compact. We give non-compact examples of 4-manifolds admitting parallel spinors with respect to non-closed Weyl structures.