In an exercise I was asked to show that if $H$ is a vector space and $K\subset H$ is closed and convex, then $D = \{\|x\|\mid x\in K\}$ is closed in $\mathbb{R}$. My proof idea was to do something like this:
Take any sequence $\{d_n\}\subset D$, and define $\{x_n\}\subset K$ such that $\|x_n\|=d_n\forall n$ ($x_n$ is clearly not unique). By the "Bolzano-Weierstrass Theorem", there exists a convergent subsequence of $x_n$, call it $x_{n_k}\to x$, and hence $\lim_{n\to\infty}d_n=\lim_{k\to\infty}\|x_{n_k}\|=\|x\|$ for some $x\in K$, and hence $\lim_{n\to\infty}d\in D$.
Now clearly, the Bolzano-Weierstrass Theorem cannot be applied to an arbitrary Hilbert space (for example, this fails to hold in infinite dimensional spaces such as $\ell^2$). Is there any way I could still make this proof "work"? How could I modify the idea to show that $D$ is closed.
On that note, is $D$ even closed? The exercise doesn't ask to directly show this, but I wanted to use this as part of the proof of a larger question.
First, your space is a Hilbert space therefore metrisable. Then, compactness is equivalent to sequential compactness (which is what you call Weierstrass Bolzano).
Weierstrass Bolzano doesn't hold for the entire space, but holds for compact sets in metric spaces.
Faster solution $F: H \to \mathbb R$ defined by $F(x)=\| x\|$ is continuous, hence it takes compact sets to compact sets.