A finite relational structure A is called compact if for any infinite relational structure B of the same type, the existence of a homomorphism from B to A is equivalent to the existence of homomorphisms from all finite substructures of B to A. We show that if A has width one, then the compactness of A can be proved in the axiom system of Zermelo and Fraenkel, but otherwise, the compactness of A implies the existence of non-measurable sets in 3-space.