The question is simply the one in the title; that given $0<\delta< 1$, there is no measurable set $E\subset\mathbb R$ satisfying $\delta< \frac{|E\cap I|}{|I|} < 1-\delta$ for all intervals $I$ of $\mathbb R$.
I want to somehow contradict the fact that $|E| = |E\backslash A| + |E\cap A|$ for all sets $A\subset\mathbb R$. Let $\epsilon>0$ be arbitrary and $A$ be collection of intervals such that $|E\backslash A|<\epsilon$ and $||E|-|A||<\epsilon$. Then $|E\cap A| = |E|-|E\backslash A|$, so $$\frac{|E\cap A|}{|A|} = \frac{|E|}{|A|} - \frac{|E\backslash A|}{|A|} > \frac{|A|-\epsilon}{|A|} - \frac{\epsilon}{|A|} \to 1\hspace{10pt}\text{as $\epsilon \searrow 0$},$$ contradicting $|E\cap A|/|A|<1-\delta$ for some fixed $\delta>0$. Is this argument correct? Can I choose $A$ as such?