From Munkres Topology section $17$ on Closed Sets and Limit Points.
I have seen answers that say if we pick some neighborhood of $x$ it may intersect some $A_\alpha$, but another neighborhood of $x$ may not intersect this same $A_\alpha$.
However, why do we care if two different neighborhoods do not intersect the same $A_\alpha$ as long as it intersects some $A_\alpha$? After all, we are trying to show that $x$ is in the union of the closures.

Every open neighborhood of $x$ intersects the union; therefore intersects some $A_\alpha$. But a smaller open neighborhood may intersect $A_\beta$ and a smaller one than that may intersect $A_\gamma$, etc. and $\alpha,\beta,\gamma,\ldots$ can be distinct. Thus you haven't shown that there's just one $A_\alpha$ that will continue to be intersected by every open neighborhood of $x$ no matter how small the neighborhood gets. In other words, you haven't shown that there is some $\alpha$ for which $x$ is in the closure of $A_\alpha$.
Identifying this flaw in the proof doesn't mean the proposition is false; it only means you haven't proved it's true. To show it's false you'd use a counterexample. Here is a counterexample: $$ A_n = \left( \frac 1 n, \frac 1 n + \frac 1 {n^2} \right). $$ Then $\displaystyle 0 \in \overline{\bigcup_{n=1}^\infty A_n}$ but $\displaystyle 0 \notin \bigcup_{n=1}^\infty \overline{A_n}.$
The counterexample may shed some light on the fallacy of the argument. For every $\varepsilon>0$, you have some $n$ so large that the neighborhood $(-\varepsilon,+\varepsilon)$ of $0$ intersects the union. But there is no $A_n$ that intersects the neighborhood $(-\varepsilon,\varepsilon) = \left( -\frac 1{2n}, +\frac 1 {2n} \right).$ That neighborhood separates $0$ from $A_n$, so that $0$ is not in the closure of $A_n$.