The answer is no. For example, $\mathbb Z$ in $\mathbb R$ is closed (since it is discrete, and every sequence converges if and only if it is eventually constant) but a finite union of closed balls has a finite diameter.
The diameter of a set $A$ is defined as: $\operatorname{diam}(A)=\sup\{|x-y|:x,y\in A\}$, the supremum of distances between the elements of $A$.
However, if we consider compact subsets, then the answer is almost yes, that is a finite union of closed balls is compact, and a compact set is a subset of such finite union of closed balls. This comes from the fact that a subset of $\mathbb R^n$ is compact if and only if it is closed and bounded. Since it is compact it is covered by a finite union of open balls. Take the closed balls with the same radius and centers and you have it.
Added. Several things to note:
A finite union of closed balls is always closed, and its diameter is always finite.
Every bounded set can be covered by a closed ball, regardless of being open or closed or anything else.
Not every set is the union of closed balls, it is not the intersection of finite union of closed balls either. Closed sets can get very complicated, and the simplest and best way to describe them is ultimately as "complement of open".
Closed sets which contain no open subset (for example a singleton) cannot be union of closed balls, since closed balls have positive radii and thus contain an open set.
This list can get very long, so I'll stop now.