The term closed set is used in the study of grammar to identify some word classes. These are the ones which are unlikely to add new members with any ease. It is hard to imagine successfully inventing a new co-ordinating conjunction, for example, or a new personal pronoun. (People have tried to introduce several new personal pronouns of common gender: none have caught on.) The closed sets are prepositions, pronouns, conjunctions, articles and determiners.
By contrast, the open sets in grammar are the word classes which frequently add new members, and consequently are much larger than the closed sets. These are the nouns, verbs, adjectives and adverbs: new nouns are invented all the time (new technology is a good source of these: "flashdrive", "ipod", etc). Language games and humorous literature often invent words, and make use of our ability to understand their meaning or at least recognize their function: when we see the word "floopily", we immediately know that it is an adverb meaning "in the manner of something floopy" (Douglas Adams, Life, the Universe and Everything) -- even if we don't know what "floopy" itself means.