Define "closed interval". Typically the definition goes like this: for $a,b\in\mathbb{R}$
$$[a,b]:=\{x\in\mathbb{R}\ |\ a\leq x\leq b\}$$
and therefore singletons $\{c\}$ are closed intervals as well, i.e. $[c,c]=\{c\}$. Thus any subset of $\mathbb{R}$ is a union of closed intervals. Even disjoint union.
However if by "closed interval" you mean "closed interval of non-zero length" (equivalently "closed intervals which are not singletons") then the answer is "no" because the Cantor set has no isolated points. And the Cantor set does not contain any open interval (and thus closed of non-zero length as well) because it is totally disconnected.