I've started to learn regular expressions in one of my classes
I know that a* is infinite, which leads me to believe that a*∅ is not infinite, since concatenating any language by a empty set is just empty set, similar to multiplying by zero. Is this line of thinking correct?
Yep, that's correct. An element of $a^*\emptyset$ would be a concatenation of an element of $a^*$ with an element of $\emptyset$. But there aren't any elements of $\emptyset$! So there is no way to build an element of $a^*\emptyset$, and it is empty.