A complete metric space can have a sequence of nested closed balls whose infinite intersection is empty, violating the finite intersection property. This occurs when the sets are not compact, as compact sets guarantee non-empty intersections. The discussion suggests exploring infinite-dimensional spaces, like Hilbert spaces, to find suitable examples. The concept of "nested" refers to sets where each is contained within the previous one, but the specific radii of the balls must be defined to analyze their intersections accurately. An example using integers illustrates that as the sequence progresses, the intersection becomes empty, highlighting the need for careful selection of sets in metric spaces.