By default sum sums the columns of its input matrix... whereas you want it to sum the rows instead. The second optional input argument lets us choose between these:
>> A = [1.2,2,3.3;1.2,2,3.2;1.1,2,3.2];
>> B = [1.1,2,3.2];
>> D = sqrt(sum(bsxfun(@minus,A,B).^2,2))
D =
0.1414
0.1000
0
>> [~,X] = min(D)
X =
3
>> A(X,:)
ans =
1.1000 2.0000 3.2000
