It is not true. If $L$ is the limit of a sequence, then $L$ is closed. This is easiest to see from a topological point of view. Your condition for set convergence can be reformulated this way:
$a_n$ converges to the set $L$ if for every point $p\in L$, every open neighborhood of $p$ contains elements of $a_n$.
Now let $x$ be a boundary point of $L$, that is, every open neighborhood $U_x$ of $x$ intersects $L$. Let $y\in U_x\cap L$. Now since $U_x$ is open, there is an open neighborhood $U_y$ of $y$ contained in $U_x$. And since $y\in L$, this neighborhood contains elements of $a_n$. But then so does $U_x$, since it's a superset of $U_y$. Since $U_x$ was an arbitrary neighborhood, this holds for all neighborhoods, and thus $x\in L$. So $L$ must contain all of its boundary points and is thus closed. Unless a set is closed, it can't be the limit of a sequence.
Uncountable set limits are possible, though. Enumerations of the rationals have the reals as their limit, since the rationals are dense in the reals.
Also, $L$ being closed is a sufficient condition for being the limit set of a sequence. Take a dense, countable subset of $L$ and enumerate it with the sequence $a_n$. Using this, define the sequence $b_n$ which goes like this:
$$a_1,~a_1,a_2,~a_1,a_2,a_3,~a_1,a_2,a_3,a_4,~a_1,a_2,a_3,a_4,a_5,~\dots$$
You get the pattern. Now any point in $L$ is a limit point of $b_n$, since $a_n$ enumerates a dense subset, meaning that all points in $L$ are limits of sequences whose elements are elements of $a_n$, and any such sequence can be constructed as a subsequence of $b_n$. No points outside of $L$ are limit points, since $L$ is closed and thus already contains all limit points of any sequence contained in $L$ (which $b_n$ is by construction).