Let's start over.
Your professor's version implies: If X is a complete metric space, then the intersection of a sequence of dense open subsets of X is nonempty.
Proof: If {U_n} is a sequence of dense open sets, then {X\U_n} is a sequence of closed sets and the identity int(X\U_n)=X\cl(U_n) tells us that each X\U_n has empty interior. So \cup_nX\U_n cannot be the whole of X, and consequently \cap_nU_n must be nonempty.
Next, let's enhance the above result and state that the intersection is in fact dense in X.
Proof: As before, let {U_n} be a sequence of dense open subsets of X. Take an arbitrary closed ball B in X - this is a complete space in the inherited metric topology. In particular, {U_n\capB} is a sequence of dense open subsets of B. So their intersection \cap_n(U_n\capB) = (\cap_nU_n)\capB is nonempty, by the above result. But now if we take any open ball B' in X, then \cap_nU_n will intersect any closed ball that sits in B'. So \cap_nU_n is dense in X.
Finally let's wrap up and prove your statement. Let {F_n} be a sequence of closed subsets of X with empty interior. Then {X\F_n} is a sequence of dense open subsets of X (again, this follows from the identity cl(X\F_n)=X\int(F_n)). So the intersection \cap_nX\F_n is dense in X, and thus int(\cup_nF_n) = X\cl(X\\cup_nF_n) = X\cl(\cap_nX\F_n) = {}. Done!
Hopefully it's clearer now. (And hopefully without mistakes!)