We study the statistical mechanics and the equilibrium dynamics of a system of classical Heisenberg spins with frustrated interactions on a $d$-dimensional simple hypercubic lattice, in the limit of infinite dimensionality $d \to \infty$. In the analysis we consider a class of models in which the matrix of exchange constants is a linear combination of powers of the adjacency matrix. This choice leads to a special property: the Fourier transform of the exchange coupling $J(\mathbf{k})$ presents a $(d-1)$-dimensional surface of degenerate maxima in momentum space. Using the cavity method, we find that the statistical mechanics of the system presents for $d \to \infty$ a paramagnetic solution which remains locally stable at all temperatures do...