You look in the wrong direction. A finite set means a set with a finite number of elements. For example a one point set. It is closed and every nonempty G delta set contains one. What is the problem?
You can also take an example of any interval [a, b], which is closed and it is an intersection of open intervals (a-1/n, b+1/n), n \in N. This can also be done for infinite closed intervals as well as for countable union of disjoint closed intervals and/or singletons. I think that it is true for any closed subset of the real line R. As any open set in R is a countable union of disjoint open intervals. Any closed set will be a countable union of closed intervals and/or singleton sets. So any closed set in R will be a G_\delta set.
Thank you Gabriel for the correction and the answer to the original question. Just to note to say that the set of G_\delta sets is strictly larger than the set of all closed sets in R as it also contains open closed intervals [a,b) (in fact, it contains any interval). It may be interesting to identify all G_\delta sets. Since any G_\delta set is Borel measurable, the sets which are not Borel or Lebesgue measurable are not G_\delta.
This simple proof does not make sense to me, can you please elaborate? How do you use that $F$ is closed. Note that any $G_\delta set is Borel measurable.