Is the following statement true?
"Let $H$ be a Hilbert space and $C\subset H$ a convex set. If $C$ has empty interior then there exist $a$ and a proper subspace $V\subset H$ such that $C\subset(a+V)$."
I guess this is false due to the following counterexample. Let $$C=\{(x_n)_{n\in\mathbb N}:|x_n|\leq 1/2^n,\ \forall n\in\mathbb N\}\subset \ell_2(\mathbb N).$$ Clearly, $C$ is convex. Moreover, it is easy to see that $C^\perp=\{0\}$, and consequently, there are no proper subspace $V$ and $a$ such that $C\subset(a+V)$.
Finally, given some $(y_n)_{n\in\mathbb N}\in C$ and $r>0$, fix $n_0$ such that $1/2^{n_0}<r$. Then $$|y_{n_0+2}-1/2^{n_0}|\geq1/2^{n_0}-1/2^{n_0+2}>1/2^{n_0+2}.$$ Define $$z_n=\left\{\begin{array}{r} y_n,\ if\ n\neq n_0+2 \\ y_{n_0+2}-1/2^{n_0},\ if\ n= n_0+2\end{array}\right..$$ Then $(z_n)_{n\in\mathbb{N}}\in B((y_n)_{n\in\mathbb N},r)$ and $(z_n)_{n\in\mathbb{N}}\notin C$. This way we proved that no ball is contained in $C$, so $C$ has empty interior.
Is everything correct? Am I missing something here?
Your counterexample is correct, assuming that "subspace" (as often) means a closed subspace of $H$. Otherwise, it would not work because the set $C$ is contained in $\ell^1(\mathbb{N})$ which is a dense subspace of $\ell^2(\mathbb{N})$. So I proceed by assuming the subspaces are closed.
The justification is slightly lacking in the following: the property $C^\perp = \{0\}$ only implies that $C$ is not contained in any proper linear subspace; it does not preclude $C$ from being contained in a proper affine subspace. For example, the set $A=e_1+e_1^\perp$, which is an affine hyperplane, satisfies $A^\perp = \{0\}$ since its linear span is all of $\ell^2$.
However, the above is easy to repair: since $C$ contains $0$, any affine subspace containing it would be a linear subspace.
A simpler example
Let $C$ be the set of all sequences $x$ such that $x_n=0$ except for finitely many $n$. Then $C$ is convex and has empty interior, since adding an arbitrarily small multiple of the vector $(1/2^n)_{n\in\mathbb{N}}$ to an element of $C$ takes one out of $C$. It's also dense in $\ell^2$, so can't be contained in a proper closed subset of any kind.
(Your example has the additional property of being closed, which however wasn't required.)