Consider 3 consecutive integers a,b, and c. Exactly one of these integers must be divisible by 3; WLOG, suppose a is divisible by 3. Then a≡0(mod3),b≡1(mod3), and c≡2(mod3). Squaring, we have that a2≡0(mod3),b2≡1(mod3), and c2≡1(mod3), so a2+b2+c2≡2(mod3). Therefore, no member of S is divisible by 3.
Now consider 3 more consecutive integers a,b, and c, which we will consider mod 11. We will assign k such that a≡k(mod11),b≡k+1(mod11), and c≡k+2(mod11). Some experimentation shows that when k=4,a≡4(mod11) so a2≡5(mod11). Similarly, b≡5(mod11) so b2≡3(mod11), and c≡6(mod11) so c2≡3(mod11). Therefore, a2+b2+c2≡0(mod11), so there is at least one member of S which is divisible by 11. Thus, B is correct.