The point is that the proof is fairly robust, and yet stating it all completely correctly is actually quite hard. Here is a more correct version:
We know there are at least some primes. For example, 3 is prime. Take any non-empty finite collection of primes. Multiply them all together, and add 1. The result may not be prime, but it is expressible as the product of primes, and hence there is at least one prime that divides it. That prime cannot be one of the primes in our finite collection, and hence any finite collection of primes does not contain them all.
The classic counter-examples used when there are proof with holes are these:
Consider the set of primes { 3, 5 }. Multiply them together and add 1, and all the primes that divide the result are less than the primes you have.
Starting with 2 and then repeatedly getting a new prime by multipying and adding 1 we get 3, then 7, then 43, but 2.3.7.43+1 = 13.139.
Finally, taking known successive primes we get "failure" at: 2.3.5.7.11.13+1 = 59.509
And as an addendum, I've heard this before, but a few days ago Carl Pomerance told me of a joke he heard from Henrik Lenstra. Here's a proof that there are infinitely many composites:
4 is composite, 6 is composite. Suppose by way of contradiction that the set of all composites is finite. Multiply them all together and don't add 1! That's a new composite, hence contradiction. QED.