You may not have encountered all of these definitions yet, but here is a hint at the bigger picture.
The Heine–Borel theorem states that the following are equivalent for a subspace $E \subset \mathbb{R}^n$:
(1) $E$ is compact.
(2) Every subsequence in $E$ has a convergent subsequence.
(3) $E$ is closed and bounded.
This theorem can be generalized to any metric space $X$ with a slight modification:
(1) $X$ is compact.
(2) Every subsequence in $X$ has a convergent subsequence.
(3) $X$ is totally bounded and complete.
In case these definitions are new:
A metric space $X$ is called totally bounded if for each $ \varepsilon > 0$, there exists a finite number of open balls of radius $\varepsilon$ that cover $X$.
A metric space $X$ is called bounded if there exists $b > 0$ such that $d(x,y)<b$ for all $x,y\in X$.
As Andreas pointed out above, we can break stuff if we remove the 'bounded' condition. A similar example is the theorem that any continuous function on a metric space will achieve its maximum and minimum on a compact set, e.g., any continuous function on a (finite and closed) interval $[a,b]\subset\mathbb{R}$. However, $\mathbb{R}\subset\mathbb{R}$ is itself closed, but a function like $f(x) = x$ has no maximum or minimum on $\mathbb{R}$ because $\mathbb{R}$ is not bounded.