In my attempt, I first show that $F$ is closed, this is since we can write $F= \bigcap_{i=1}^{\infty} F_i = (\bigcup_{i=1}^{\infty} F_i^C)^C$ and $\bigcup_{i=1}^{\infty} F_i^C$ is a union of open sets, hence it is open, hence $F=(\bigcup_{i=1}^{\infty} F_i^C)^C$ must be closed.
From here, I am trying to construct an example. I was thinking of $F_i$ being two disjoint disks that are connected with a thick line between them, such that as $i$ grows the line becomes thinner and its thickness tends to zero. The problem is that in this case $F$ still has a one-point width line connecting the disks and this seems not good enough.
Will be happy for any help on this or a better example (Assuming the standart topology on $\mathbb{R}^2$)
Consider taking $F_i$ as the closed upper half-plane with $(0,1)\times [0,i)$ removed.