The property you stated is equivalent to separability of $X$ (which is equivalent to $X$ being second countable, since it is metric). Let's denote $B_\epsilon(x)$ the open ball of radius $\epsilon$ around $x$.
If $X$ is separable, take a countable dense subset $D=\left\{x_1,x_2,\ldots\right\}$. Given $\epsilon>0$, take $A_n=B_{\epsilon/2}(x_n)$. The collection $\left\{A_n\right\}$ has the desired properties.
Conversely, suppose the condition you wrote is satisfies. For a given $n$, choose a family $\left\{A^n_i\right\}_i$, with $diam A^n_i<1/n$ and $X=\bigcup_i A^n_i$. For each $n$ and each $i$ choose $x_{n,i}\in A^n_i$. Then $D=\left\{x_{n,i}:n,i=1,2,\ldots\right\}$ is a countable dense subset of $X$.