Your space $X$ is usually denoted by $c_0$. To show that $c_0$ is not reflexive it is enough to find $f \in c_0^*$ for which
$$\|f\|=\sup_{\|\{a_n\}\|=1}|f(\{a_n\})|$$
is not attained for any $\{a_n\}$. (for reflective spaces, such a sup is attained).
Consider $f:c_0 \rightarrow \mathbb{C}$ defined by
$$f(\{a_n\})=\sum_{n=1}^{\infty} \frac{a_n}{n!}$$
Notice that this function is well defined, since $\left|\frac{a_n}{n!}\right| \leq \left|\frac{1}{n!}\right|$ for large enough $n$, and since $\sum_{n=1}^{\infty} \frac{1}{n!}$ converges absolutely by the ratio test, then $\sum_{n=1}^{\infty} \frac{a_n}{n!}$ converges absolutely by the comparison test.
It is clear that $f$ is linear, since
\begin{equation}
\begin{split}
f(\{a_n\}+\{b_n\})
& = \sum_{n=1}^{\infty} \frac{a_n+b_n}{n!}\\
& = \sum_{n=1}^{\infty} \frac{a_n}{n!}+\sum_{n=1}^{\infty} \frac{b_n}{n!}\\
& = f(\{a_n\})+f(\{b_n\})\\
\end{split}
\end{equation}
\begin{equation}
\begin{split}
f(\alpha \{a_n\})
& = \sum_{n=1}^{\infty} \frac{\alpha a_n}{n!}\\
& = \alpha \sum_{n=1}^{\infty} \frac{a_n}{n!}\\
& = \alpha f(\{a_n\})\\
\end{split}
\end{equation}
Notice that for an arbitrary $\{a_n\} \in c_0$ such that $\|\{a_n\}\|=1$, $|a_n| \leq 1$ for all $n$ and $|a_n|<1$ for some $n$ (it is because $\{a_n\}$ converges to $0$). Thus, we get that
\begin{equation} \label{eq:8}
\begin{split}
|f(\{a_n\})|
& = \left|\sum_{n=1}^{\infty} \frac{a_n}{n!}\right|\\
& \leq \sum_{n=1}^{\infty} \left|\frac{a_n}{n!}\right|\\
& < \sum_{n=1}^{\infty}\frac{1}{n!}\\
\end{split}
\end{equation}
Since the right side converges by ratio test, $\|f\| \leq \sum_{n=1}^{\infty}\frac{1}{n!}$.
Now let $\epsilon >0$. Since $\sum_{n=1}^{\infty}\frac{1}{n!}$ converges,
$$\lim_{k \rightarrow \infty} \sum_{n=k}^{\infty}\frac{1}{n!}=0$$
Therefore, we can find $K$ big enough such that
$$\sum_{n=K}^{\infty}\frac{1}{n!}< \epsilon$$
Therefore, we have that
$$\sum_{n=1}^{\infty}\frac{1}{n!}=\sum_{n=1}^{K-1}\frac{1}{n!}+\sum_{n=K}^{\infty}\frac{1}{n!}<\sum_{n=1}^{K-1}\frac{1}{n!} + \epsilon$$
Thus, if we consider $\{a_n\}$ defined by
$$ a_n = \begin{cases}
1 & n < K \\
0 & n \geq K \\
\end{cases}
$$
then $\{a_n\} \in c_0$ and $\|\{a_n\}\|=1$. Also, we get
$$\left|f(\{a_n\})\right|=\left|\sum_{n=1}^{\infty}\frac{a_n}{n!}\right|=\sum_{n=1}^{K-1}\frac{1}{n!} > \sum_{n=1}^{\infty}\frac{1}{n!}- \epsilon$$
Since $\epsilon$ was arbitrary, this means that we can find $\{a_n\}$ such that $\{a_n\} \in c_0$, $\|\{a_n\}\|=1$ and the norm of $f(\{a_n\})$ is as close to $\sum_{n=1}^{\infty}\frac{1}{n!}$ as we wish. Thus, it has to be that
$$\|f\|=\sum_{n=1}^{\infty}\frac{1}{n!}$$
However, we showed that such supremum is not attained for any $\{a_n\} \in c_0$ such that $\|\{a_n\}\|=1$. Thus, $c_0$ is not reflexive.