Russell, with his paradox, proves that the set $\{x:x\notin x\}$ of all sets that are not members of themselves doesn't exist. So, he demonstrates that the set $\{x:p(x)\}$ doesn't exist necessary (it will not exist if $p(x)$ leads to a contradiction).
But Zermelo answers (axiom of subsets):
If the set $A$ exists, and if $p$ is a predicate, then the set $\{x \in A : p(x)\}$ of all elements in $A$ satisfying $p$ also exists.
According to axiom of subsets, the set $W = \{x \in \mathbb{R} : x \notin x\}$ exists. But I don't see what this set is. For instance, do we have $\pi \in W$ (i.e $\pi \notin \pi$)?
You need to remember that in a universe of set theory everything is a set. In particular real numbers are represented by sets.
Furthermore in the Zermelo-Frenkael set theory, $x\notin x$ for every set $x$, so $W$ as you defined it is simply $\mathbb R$.
If you take Zermelo's original set theory which allows sets of the form $x=\{x\}$, it is possible to construct the real numbers in such way which allows for some (perhaps all) real numbers to be of this form. In this case $W$ might be a proper subset of $\mathbb R$ - even empty.