It is not that the intersection of a sequence of open nested intervals is always empty, just that it can be empty.
The quintessential example is the one you have given; define the sequence $(I_n)_{n\in\mathbb{N}}$ such that $I_n=(0,1/n)$. Question: If I pick a real number $x$, does it belong to the set $\cap_{n=1}^k I_n$? Only if $0<x<1/k$. Since the reals have the property that there are no non-zero infinitesimals, every real number $x$ has some natural number $k_x$ such that $x>1/k_x$.
Thus, eventually, after a finite number of intersections, $x$ will not belong to our set. Thus, if we take the entire intersection, no real number $x$ gets in our set, and we are empty.
I would ignore the lengths of the intervals for this particular portion of the problem; we only wish to demonstrate that the theorem for nested, closed, and bounded intervals cannot be generalized to nested, open, and bounded intervals.