You can directly show its complement is not closed. Let $x_n = (0,0,\dots,0,0,2,2,2,2,2,\dots)$ where there are $n$ $0$'s. Then each $x_n \in \mathbb{R}^\omega\setminus (-1,1)^\omega$ but $x_n \to (0,0,0,\dots) \in (-1,1)^\omega$.
You can directly show its complement is not closed. Let $x_n = (0,0,\dots,0,0,2,2,2,2,2,\dots)$ where there are $n$ $0$'s. Then each $x_n \in \mathbb{R}^\omega\setminus (-1,1)^\omega$ but $x_n \to (0,0,0,\dots) \in (-1,1)^\omega$.