Okay. I see what you were asking now. This is a really cool question actually, I worked out something really interesting at my desk; and I'm also including my thought process that led me to my answer at the bottom of the page.
It turns out that it is not clear how to define $\cap${ } so that it is a set which actually exists. I have never seen, anywhere, a definition of the intersection of a set of zero sets; and now I've discovered the reason:
Lets consider the most natural and tempting definition of $\cap$ { }:
$$\cap \textrm {{ }}= \textrm{{y:$\forall x\in \textrm{{ }}, y\in x$}}$$
In ZFC, this is a class. What remains to be found is whether or not it's proper.
By the law of excluded middle in classical logic,
$$\textrm{(1) }\exists\cap \textrm{{ }}\oplus \nexists\cap \textrm{{ }}$$
Also, using that same law again,
$$\textrm{(2) } \exists\cap \textrm{{ }}\rightarrow \cap \textrm{{ }}=\varnothing\oplus\cap \textrm{{ }}\ne\varnothing$$
Where $\oplus$ is the "exlusive or" symbol.
Supposing the former in (1), also suppose the former in the predicate of (2). Then,
$$\forall y, y\notin \cap \textrm{{ }}$$
By our definition of $\cap \textrm{{ }}$, it is necessary that
$$\exists x\in\textrm{{ }}\ni y\notin x$$
However, this is a contradiction because{ } is empty. This would force us to evaluate other cases and such. A few minute's of thought, though, about our definition of $\cap \textrm{{ }}$ reveals just how large of a set this set would have to be:
I claim that this intersection contains every set.
$$\textrm{Let y be a set. Now suppose $x\in y$. This is obviously false, so any predicate to it evaluates as true. Thus $y\in\cap \textrm{{ }}$.} $$
But from the notion of a class in ZF (or ZFC), $\cap \textrm{{ }}$ is an aggregation of sets. Thus, we have,
$$y\in \cap \textrm{{ }}\leftrightarrow y\in\textrm{"The class of all sets"}.$$
The latter class is known to be a proper class, that is, a thing that is a class but not a set.
There's your answer: Unless we come up with a better definition of $\cap \textrm{{ }}$, we need to make a stipulation that "it be closed for any finite intersection of 1 or more;" because the standard definition of intersection does not provide a set which exists." This all stems from the fact that the set of all sets is not actually a set. This is the result of one of the classical paradoxes that led to the axiomatization of set theory.
If this idea troubles you, let the set of all sets be S. Consider the subset A={x$\in$S:x$\notin$x} (This is the set in Russell's paradox, which Bertrand Russell provided as a counterexample to Frege's axiom of abstraction). Clearly,
$$ A\in A \oplus A\notin A$$
Suppose the first. Then $A\notin A$. This is a contradiction. Suppose the latter, then $A\in A$. This is a contradiction too. So, A cannot exist. The only thing that went wrong with our proof was our supposition that the set of all sets is a set.
-Adam V. Nease