My intuition says YES. Am I correct? The following is the proof of my intuition.
Let a function $f(x)$ be continuous in the interval $[a,b]$ and suppose it is infinite at a point $c$ in the interval.
$\lim\limits_{\Delta x \to0} f(c\ +\Delta x)\ -f(c)= \text{not defined}$
Therefore $f(x)$ is not continuous at $c$
This is a contradiction. Therefore our supposition is incorrect. Therefore $f(x)$ cannot be infinite at point $c$ in the interval. Since $c$ is an arbitrary point, $f(x)$ cannot be infinite at any point in the interval $[a,b]$.
Is my proof correct?
As noted in the comments, function being "infinite" dosent make sense, but function tending to infinity, or the limit of the function being infinity, does make sense. In this sense, consider $[0,\infty)$, which is closed and let the function be $e^x$, Then, as $x\to\infty$, the function also "tends to infinity".
On the other hand, if the interval were closed and bounded(or compact), your guess is right