In the Closest String problem one is given a family S of equal-length strings over some fixed alphabet, and the task is to find a string y that minimizes the maximum Hamming distance between y and a string from S. While polynomial-time approximation schemes (PTASes) for this problem are known for a long time, no efficient polynomial-time approximation scheme (EPTAS) has been proposed so far. We prove that the existence of an EPTAS for Closest String is in fact unlikely, as it would imply that FPT=W[1], a highly unexpected collapse in the hierarchy of parameterized complexity classes. Our proof also shows that the existence of a PTAS for Closest String with running time f(eps) * n^o(1/eps), for any computable function f, would contradict the Exponential Time Hypothesis.