Bash Globbing – Exclude Specific Patterns in Wildcards

This is called globbing (link to bash documentation, but this is not specific to bash).

When you ran rm [0-9].txt, the shell expanded [0-9].txt to the list of files present in the directory that matched that pattern. Then that list is passed as an argument to rm (each file as a separate argument).
So no, the shell didn't expand it to 0.txt 1.txt ... 9.txt, it looks at the files that matched.

Why you run just rm 5.txt, there is no glob pattern to expand, so the argument is passed as-is to rm, which notices that the file doesn't exist and complains.

Try something else: same command rm [0-9].txt, but in a directory that doesn't have any file that matches the pattern. You'll notice rm complains again, but this time it will say:

rm: cannot remove '[0-9].txt': No such file or directory

This is what happens (by default anyway) if a glob pattern doesn't match anything: the shell doesn't expand it and leaves it untouched.

POSIX reference for this sort of pattern matching: Pattern Matching Notation.

You can use the following:

cd /proc/$(!!)