Let $X$ be a Polish space and $f\colon\mathbb{R}\to X$ continuous. Then since $\mathbb{R}=\bigcup_{n=-\infty }^\infty [n,n+1]$ -- a countable union of compact set, $f(\mathbb{R})$ is a countable union of compact sets $\Rightarrow$ $f(\mathbb{R})$ is $F_\sigma$$\Rightarrow$ Borel.
I think that there is a problem with this argument as it can be easily extended to open sets in $\mathbb{R}^n$ and their images are not always Borel. I need help.
Many thanks in advance!