To start with, suppose $F = \left\lbrace x_1, x_2, \cdots, x_n \right\rbrace \subseteq \mathbb{R}$ be your finite set. Now, for any $x \in \mathbb{R} \setminus F$, let $r_i = \left| x - x_i \right|$. Since $x \notin F$, $r_i > 0$ for each such $i$.
Now, since we have only finitely many such $r_i$, we can take $r = \min\limits_{1 \leq i \leq n} \left\lbrace r_i \right\rbrace$ and then construct the open interval around $x$ as $\left( x - \dfrac{r}{2}, x + \dfrac{r}{2} \right)$. Clearly, none of the elements of the set $F$ can be in this open ball otherwise the element inside of this interval will have a distance less than $r_i$ which will contradict the very definition of $r_i$.
Therefore, for every element in $\mathbb{R} \setminus F$, we get an interval around this element which is completely contained in $\mathbb{R} \setminus F$. Hence, $\mathbb{R} \setminus F$ must be open.