I guess you want to impose some additional conditions on $U$. If $U$ is unbounded, then the topology of $l_2\setminus U$ can be as complicated as you wish. For example if you take U to be the product of a complex hyperplane arrangement $A\subset \mathbb C^n$ with $l_2$, i.e $U= A\times l_2\subset \mathbb C^n\times l_2$ you get a manifold with a complicated fundamental group. You can also throw away from $l_2$ a countable set of planes of finite (but growing codimention), this will give you holomogy in all dimensions.

Of course all this is true even you ask your question for complements to closed star-shaped sets in finite dimensional spaces. So, it would be nice to know what kind of finite-dimensional phenomena you want to generalise. Because obviously, if you assume that $U$ is bounded and contains a neighbourhood of $0$, then the complement $l_2\setminus U$ deformation retracts to $S^{\infty}$, so it is contractible.