The conclusion of Cantor's theorem is that the infinite intersection $\bigcap_{n=1}^\infty [a_n,b_n]$ is not empty (in fact, this intersection is the interval $[c_a,c_b]$). As the example by @LuizCordeiro demonstrates, it is not necessary that $c_a = c_b$. One of the proofs of the Bolzano-Weierstraß theorem constructs a convergent subsequence of a given bounded sequence $(x_k)_{k=1}^\infty \subset [a,b]$ by successively choosing an interval $[a_n,b_n]$ containing infinitely many terms of $(x_k)_{k=1}^\infty$ so that $[a_n,b_n]$ is one of the two halves of the previous interval $[a_{n-1},b_{n-1}]$. This construction explicitly ensures that $b_n-a_n = 2^{-n}(b-a) \to 0$ as $n \to \infty$, so that we can later conclude that $c_a = c_b$ is the limit of the constructed subsequence. Below is a proof of Cantor's theorem.
The sequence $(a_n)_{n=1}^\infty$ is monotonically increasing and bounded from above by $b_1$, as $a_n \leq b_n \leq b_1$. Hence, $(a_n)_{n=1}^\infty$ converges to a finite limit $c_a \in \mathbb{R}$. Recall that $c_a:=\lim_{n\to\infty}a_n$ is in fact the least upper bound $\sup_n a_n$ of the set $\{a_n\;|\;n\geq1\}\subset \mathbb{R}$. Indeed, if we assume that $a_n>c_a$ for some $n$, then putting $\varepsilon=\frac12(a_n−c_a)>0$, we observe that for all $m \geq n$, we would have $a_m \geq a_n > c_a+ \varepsilon$, a contradiction. Also, if we assume that some $s<c_a$ is an upper bound for $(a_n)_{n=1}^\infty$, then putting $\varepsilon=\frac12(c_a−s)>0$, we obtain $a_n\leq s < c_a−\varepsilon$ for all $n$; again a contradiction. Similarly, we have $c_b := \lim_{n\to\infty}b_n = \inf_n b_n$, the greatest lower bound of the set $\{b_n\;|\;n\geq 1\}$. Now, observe that $a_m \leq b_n$ for arbitrary $m$ and $n$, not only when $m=n$. Indeed, for $p = \max\{m,n\}$ we have $a_m \leq a_p \leq b_p \leq b_n$. Fix an arbitrary index $n\geq1$ and consider the inequalities $a_m \leq b_n$ for all $m \geq 1$. They imply that $b_n$ is an upper bound for $(a_m)_{m=1}^\infty$. Hence, $c_a = \sup_m a_m \leq b_n$. Since $n$ was chosen arbitrarily, the last inequality holds for all $n \geq 1$. Thus $c_a$ is a lower bound for $(b_n)_{n=1}^\infty$, and hence, $c_a \leq \inf_n b_n = c_b$. Thus, the interval $[c_a,c_b]$ is not empty. Since $a_n \leq c_a \leq c_b \leq b_n$, we have $[c_a,c_b] \subset [a_n,b_n]$ for all $n$, or in other words, $[c_a,c_b] \subset \bigcap_{n=1}^\infty [a_n,b_n]$. Therefore, the latter intersection is non-empty, Q.E.D. In fact, we have also the inclusion $\bigcap_{n=1}^\infty [a_n,b_n] \subset [c_a,c_b]$, as every element of the intersection on the left is an upper bound for $(a_n)_{n=1}^\infty$ and simultaneously a lower bound for $(b_n)_{n=1}^\infty$, and hence $c_a \leq x \leq c_b$. Thus, $\bigcap_{n=1}^\infty [a_n,b_n] = [c_a,c_b].$
