If you can afford that much memory, I want to be your friend.

No. One reason is that the interface java.util.Set<E> requires you to
implement:

int size() - Returns the number of elements in this set (its
cardinality).

And the int data type does not define a bit pattern that means
"infinite". You could therefore not implement an infinite size set
(such as N) using java.util.Set while honouring the interface
requirements for that type.

Cheers,
    Bent D

You did not mention infinite sets in your original posting...

I don't know what you intend to do but maybe a math system like
mathematica and similar is better suited to your needs.  There are even
free implementations available.

Cheers

    robert

 The set of all Java Integer objects (just written - never
 compiled, so there will still be errors, but you get the idea):

class Integers extends java.util.AbstractSet implements java.util.Set
{ public Integers(){} @java.lang.Override
 public void clear(){ throw new java.lang.UnsupportedOperationException; }
 @java.lang.Override public boolean contains( final java.lang.Object key )
 { return java.lang.Integer.class.isAssignableFrom( key.getClass()); }
 @java.lang.Override public boolean remove( final java.lang.Object key )
 { throw new java.lang.UnsupportedOperationException; }
 @java.lang.Override public int size()
 { return java.lang.Integer.MAX_VALUE; }
 @java.lang.Override public boolean add( final java.lang.Object arg0 )
 { throw new java.lang.UnsupportedOperationException; }
 @java.lang.Override public java.util.Iterator iterator()
 { return new java.util.Iterator()
   { int i = java.lang.Integer.MIN_VALUE;
     public boolean hasNext(){ return i + 1 > i; }
     public java.lang.Object next(){ return ++i; } public void remove()
     { throw new java.lang.UnsupportedOperationException; }}}}

 Mathematical integers can not all be represented as distinct
 objects or values by a computer, because they are not limited
 in size, so a storage for a single mathematical integer value
 would need to have more states the possible different states
 of our whole universe. This also holds for storages of sets of
 mathematical integers.