Is $\mathbb R^n\setminus\{\mathbf{0}\}$ a convex set?
I read the convex analysis book (R.T. Rockafellar), in the book he wrote " convex cone may or may not contain the origin point". Then a question occur to me that the whole space $\mathbb{R}^n$ is a convex cone, so it may not contain the origin point too, i.e.$\mathbb R^n\setminus\{\mathbf{0}\}$. But the origin point $0$ is not in the line segment that joins points $(-x,0)$ and $(x,0)$, thus the whole space is not a convex cone, which makes me confused.

$\mathbb R^n\setminus\{\mathbf 0\}$ is not a convex set for any natural $n$, since there always exist two points (say $(-1,-1,\dots,-1)$ and $(1,1,\dots,1)$) where the line segment between them contains the excluded point $\mathbf 0$.
This does not contradict the statement that "a convex cone may or may not contain the origin point" because according to the author's definition, a convex cone cannot contain any lines, which means $\mathbb R^n$ is not a convex cone.