It could be a random variable. Random variable is a variable that attains value according to some random process. You can for example throw a die - every time you throw it, you conduct a random experiment and you can get different values for every throw. Now the values - 1,2,3,4,5,6 - could be values, that a random variable can attain. As you can see, the values that the RV can attain form a set. However, every time the experiment is conducted, RV only attains one specific value (realisation of random variable). So Random variable is not a set. It is a mapping. Technical definitions and more examples have already been discussed on Cross validated and I will omit them here. I will provide one example:
Let $X$ be the random variable from the die throwing. It can attain values $1,2,3,4,5,6$. If we square it ($Y = X^2$), then $Y$ can attain values $1,4,9,16,25,36$. However, when zou throw a die, you only get one outcome - one number, not the whole set of possible numbers.