HINT: Every finite language is regular, and there are infinite languages that are not regular.
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It isn't. Consider the language $L_n = \{a^nb^n\}$. For each $n$, $L_n$ is a regular language (duh, it's a finite language), yet the countable union of all such $L_n$ is the context-free language $\{a^nb^n \mid n \in \mathbb N \}$.
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Given a language $L$, one has $$L = \bigcup_{u \in L}\ \{u\}.$$ Since every singleton is regular, it follows that any language is a countable union of regular languages. Thus, except if the alphabet is empty, the family of regular languages is not closed under countable unions.
HINT: Every finite language is regular, and there are infinite languages that are not regular.