This is a question from the textbook 'Cambridge Senior Mathematics for Queensland', Exercise 4B.
(25) Show that there is no infinite arithmetic sequence whose terms are all prime numbers.
While the fact that there is no known pattern in prime gaps is enough to prove that an arbitrarily long arithmetic sequence consisting only of primes could exist, I am not sure that it is enough to prove that an infinite arithmetic sequence. Conversely, I can find no proven evidence that there does not exist an infinitely long arithmetic sequence whose terms are all prime numbers (though, perhaps I am looking in the wrong places).