Which set does $\infty$ refer to?

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The extended real number line is sometimes written as $\mathbb{R} \cup \{+\infty\} \cup \{-\infty\}$.

In ZFC, this would imply that $+\infty$ is some set. In other words, the string $+\infty$ is an identifier for a particular set.

So... which set is this? Or this this technically an abuse of notation?

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For the purpose of compactification you may use any object that is not a real number, take $+\infty=\{\mathbb R_+\}$ for example.