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 [itex]\cup_n[/itex]X\U_n cannot be the whole of X, and consequently [itex]\cap_n[/itex]U_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[itex]\cap[/itex]B} is a sequence of dense open subsets of B. So their intersection [itex]\cap_n[/itex](U_n[itex]\cap[/itex]B) = ([itex]\cap_n[/itex]U_n)[itex]\cap[/itex]B is nonempty, by the above result. But now if we take any open ball B' in X, then [itex]\cap_n[/itex]U_n will intersect any closed ball that sits in B'. So [itex]\cap_n[/itex]U_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 [itex]\cap_n[/itex]X\F_n is dense in X, and thus int([itex]\cup_n[/itex]F_n) = X\cl(X\[itex]\cup_n[/itex]F_n) = X\cl([itex]\cap_n[/itex]X\F_n) = {}. Done!
Hopefully it's clearer now. (And hopefully without mistakes!)