Those authors have a book on the topic that gives the following more down-to-earth interpretation:
J. M. Borwein and J. D. Vanderwerff, Convex Functions: Constructions, Characterizations and Counterexamples Cambridge University Press, 2010.
https://carma.newcastle.edu.au/resources/jon/Preprints/Books/CUP/cup-final.pdf
Just before Proposition 7.5.6 it defines: "A (closed convex) set in a
Banach space is constructible if it is representable as the intersection of countably many closed half spaces."
Proposition 7.5.6 in the book: "A closed convex subset [of a Banach space] containing the origin is constructible if and only if its polar is weak*-separable."
The book immediately follows Proposition 7.5.6 with this interpretation: "In particular, all closed convex subsets of a separable [Banach] space are constructible."
The bracketed phrases in the above quotes are my own additions. Since $\mathbb{R}^n$ is a separable Banach space, it works for all closed and convex subsets of $\mathbb{R}^n$.