Any real device has a bandwidth. There are two ways to think about it: in time domain and in term of spectrum (frequency domain).
Frequency domain
In terms of spectrum it means that any real device has limited precision, i.e., it does not detect exactly frequency $\omega_0$, but rather frequencies in a small range $[\omega_0-\Delta\omega/2,\omega_0+\Delta\omega/2]$. In practice the spectrum of the device is usually not rectangular, but a smooth function (such as Lorentz shape or Gaussian curve), with $\Delta\omega$ characterizing its width. However, rectangular spectrum (i.e., a band that is uniform everywhere in $[\omega_0-\Delta\omega/2,\omega_0+\Delta\omega/2]$ and zero outside this interval) is often easier to deal with.
Time domain
If we now go to the time domain, then width of the spectrum corresponds to the frequency of the lowest harmonics of the signal. In order to measure frequency of a signal, it should be observed (often we say "averaged") over a time interval much longer than its period - otherwise we cannot claim that the signal is truly periodic. This means that the bandwidth $\Delta\omega$ is actually determined by the averaging time of the device, $T$. This averaging time is always finite - at least for the reason that our experiment lasts finite time, the scientists performing experiments are mortal, the PhD lasts only a few years, and even the lifetime of the Universe is finite - whatever applies to a particular situation. E.g., @ThePhoton has given a correct description of how finite bandwidth arises in photodetectors, but the constraints outlined here are valid for any kind of detectors.