Draw a picture. The function $\tan x$ goes from $-\infty$ to $+\infty$ on the interval $(-\pi/2,\pi/2)$. Try to draw the graph of a continuous function on the same interval that doesn't cross $y=\tan x$. By continuity, you'll have to stay above or below the graph of tangent, and your function will have an asymptote at one of $x=\pm\pi/2$. A polynomial can't have this behaviour as it will be continuous on the closed interval $[-\pi/2,\pi/2]$.
Now take the above and try to turn it into something more rigorous. You can use the intermediate value theorem on $p(x)-\tan x$ for values of $x$ near $\pm\pi/2$. E.g. $p(\pi/2-\epsilon)$ and $p(-\pi/2+\epsilon)$ will be close to the values of $p(\pm\pi/2)$ for a polynomial $p$, whereas values of tangent can be made arbitrarily large (positive and negative), so the difference will take on opposite signs.