Suppose $\mu(S) > 0.$ Because $\mu(rE) = r^n\mu(E)$ for any measurable $E\subset \mathbb R^n$ and $r>0,$ we have $\mu(rS)\ge \mu(S)$ for $r\ge 1.$ Now $\\{1\le |x|\le 2\\},$ a compact subset of finite measure, contains the pairwise disjoint compact sets $S_k= (1+1/k)S, k = 1, 2, \dots $ This implies $\mu(\\{1\le |x|\le 2\\}) \ge \sum_k \mu(S_k) = \infty,$ contradiction.