It looks like you need to have a clipboard manager running in order for clipboard content to persist after an application exits, at least for gtk applications. xfce4-screenshooter in fact makes a call to gdk_display_supports_clipboard_persistence() to determine whether or not to show you a radio button for copying the screenshot to the clipboard. With the command line switch, it just silently fails. Perhaps there should be a warning issued from the application in that case.
Anyway, there are quite a few clipboard manager options, but I just tested it with Clipman running and it works.