A Cauchy sequence in a metric space $(X,d)$ is a sequence for which the distance between two terms can be made as small as we want, provided we look far enough in the sequence.
Let $X \subseteq Y$, where $Y$ is a set on which $d$ can be extended. Is it always true that for any Cauchy sequence $\{x_n\}$ in $X$ one can find $y\in Y$ such that $d(x_n,y)\rightarrow 0$?
In other words, is it true that every Cauchy sequence "converges" to something? (and if this something is in $X$ we say it is convergent?)
I think what you're looking for is the concept of the completion of the metric space $X$.
Here you construct $Y$ by adding to $X$ an "artificial" limit element for each Cauchy sequence that doesn't already have one in $X$ -- or rather, for each equivalence class of such Cauchy sequence where sequences $(x_n)$ and $(y_n)$ are related if $d(x_n,y_n)\to 0$.
One main example of this is that $\mathbb R$ is a metric completion of $\mathbb Q$.