http://en.wikipedia.org/wiki/Complete_metric_space says that a metric space M is called complete (or a Cauchy space) if every Cauchy sequence of points in M has a limit that is also in M or, alternatively, if every Cauchy sequence in M converges in M.
There is no Cauchy sequence in the set of integers $Z$, or any discrete set for that matter. Hence, is it Cauchy complete, as all the Cauchy sequences it has (a null set) have a limit inside $Z$?
Cauchy sequences exist in such metric spaces (ie. when there exists $\alpha>0$ such that $d(x,y) \geq \alpha$ for all $x \neq y$): they are just eventually constant.