Does this work?
Let k be a field, and let R be the subring of prodinftyi=1k[t] consisting of those sequences that stabilize. Let I be the ideal comprised of those sequences that stabilize at 0. Set X=mathrmSpec(R), and let U be the complement of V(I) in X. (The inclusion UtoX is quasiseparated, but not quasicompact; here j∗mathcalOU is not quasicoherent.)
If ei denotes the sequence that is 0 except in the ith spot, where it is 1, then the ei's generate I, and since eiej=deltaij, we deduce that U=coprodinftyi=1Xei=coprodinftyi=1mathbfA1k.
Now consider the ideal (ti)subsetk[t] as an ideal sheaf on each Xei; these glue to give a quasicoherent ideal sheaf I on U, which in turn defines a closed subscheme Z of U, which is open in X.
I claim that there is no closed subscheme V of X such that Z is open in V. If there were, it would be V=V(J) for an ideal JsubsetR such that JcdotRei=(ti). But this is impossible, since any element f=(fi)inJ would have to have fiin(ti) but would nevertheless have to stabilize. So it would have to stabilize at zero; hence JsubsetI, so V(I)subsetV(J), whence we ... EDIT: do not have a contradiction.
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