The set of all $n\times n$ real matrices with determinant 1 vied as a subset of $\mathbb{R}^{n^2}$ can be identified with the set
$$
E: = \{x\in \mathbb{R}^{n^2}: \ p(x) = 1 \},
$$
where $x\in \mathbb{R}^{n^2}$ is the "unwrapped" form of an $n\times n$ matrix (we put each row side by side), and $p(x)$ is the determinant, which is a polynomial in $x$.
Since $p$ is a continuous function, the set $E$ is closed. Next, for any $\varepsilon>0$ we have
$$p(\varepsilon x_1, x_2, ..., x_{n+1}, \frac {1}{\varepsilon}x_{n+2},x_{n+3},..., x_{n^2}) = p(x_1,x_2,....,x_{n^2})$$
where $x$ corresponds to the identity matrix, which is in $E$ so, $E$ is not bounded (compare with the answer by @MartinArgerami above).
Finally, we are left to show that $E$ has no interior points. In fact, $E$ is a set of measure $0$, as a $0$-set of the non-zero polynomial $p(x) - 1$, and hence is free of interior points (it is a well-known fact, and not very hard to prove, that unless the polyomial is identically $0$, then it's $0$-set has measure $0$, see here for example).