Is the intersection of the following closed and open set closed? Generally? Ok, I have been informed that the below lemma is incorrect. I needed it to prove the following statement. Could someone else provide a proof?
Statement: If m(E) is finite, there exists a compact set K with $K\subset E$ and $m(E-K)\le \epsilon$. 
m(E) is the Lebesgue measure of set E.
Thanks!
Lemma: Let F be a closed subset of $\mathbb{R^d}$. Let $B_n(0)$ be a ball of radius n centered at the origin. Let $K_n=F\cap B_n$. Show $K_n$ is compact.

(The OP drastically changed the question after this answer was posted.)
I'm not sure if you intended the $n$ in the superscript of $\mathbb{R}^n$ to be the same as the $n$ in $B_{n}(0)$.
Nevertheless: Your question asks about the intersection of a closed and open set, so I assume that by "ball" you mean an open ball.
The statement is false.
Let $n = 1$ so that we are dealing with $\mathbb{R}$.
Then $B_{1}(0)$ is the open interval $(-1, 1) \subset \mathbb{R}$.
Let $F$ be the closed subset $[-1, 1] \subset \mathbb{R}$.
Then $K_{1} = [-1, 1] \cap (-1,1) = (-1, 1)$ is the same open set (i.e., open interval) as $B_{1}(0)$.
In particular: This provides a counterexample to the statement in question.
