Maybe this is more about language and convention than actual math.
Literally, the notation $\{x_i:i\in I\}$ or $\{x_i\}_{i\in I}$ means the range of the function $x$ with domain $I$. But then many people seem to use this symbol to stand for the actual function $x$ itself. For example, somebody might write "let $\{x_n\}$ be a sequence". Am I correct in understanding that there are two different meanings for the same symbol?