This paper concerns the projected gradient descent (PGD) algorithm for the problem of minimizing a continuously differentiable function on a nonempty closed subset of a Euclidean vector space. Without further assumptions, this problem is intractable and devoted algorithms are only expected to find a stationary point. PGD is known to generate a sequence whose accumulation points are Mordukhovich stationary. In this paper, these accumulation points are proven to be Bouligand stationary, and even proximally stationary if the gradient is locally Lipschitz continuous. These are the strongest stationarity properties that can be expected for the considered problem.