Possible linguistic pedantry; he used "a" set of natural numbers, but "the" set of real numbers. It's equally difficult to represent the set of natural numbers.
I can't produce the set of all humans on Earth either, but that doesn't mean they don't exist.
Both real and natural numbers can be reasoned about despite their infinite size (and we even know that e.g. there must be "more" real numbers than natural numbers, even though both sets are infinite)
Axiom of choice says I should be able to select an element from the set of real numbers (assuming it exists; but, I believe the assumption to be counterfactual).
I agree. Even though the axiom of choice is independent of ZF, I don't think it is self-evident axiom. It actually seems pretty counter-intuitive if you believe in infinite-precision real numbers that have an infinite amount of information and can't be compressed. I have more to say on this in "Digital Physics" (the movie). -Khatchig
To the question: I'm only saying that the "set of real numbers" and the "set of natural numbers" don't seem to exist.
Despite numerous downvotes, no one has yet produced them here (or even a link to them).