Let $H\leq A_n$. By acting $A_n$ on the cosets of $H$, we get a homomorphism $\Phi:A_n\to\mbox{Bij}(A_n/H)\simeq S_{[A_n:H]}$, where $Bij(X)$ for a set $X$ denotes the group of all bijections $X\to X$ and $A_n/H$ is the set of cosets of $H$. Explicitly, for $x\in A_n$, we get the bijection $A_n/H\to A_n/H$ where $yH\mapsto xyH$. Therefore, we have (by the Isomorphism Theorems) that
$$A_n/\ker\Phi\simeq\mbox{image}(\Phi)\leq\mbox{Bij}(A_n/H).$$
Since $A_n$ is simple for $n\geq5$, we have that $\ker\Phi$ is either 1 or $A_n$. It can't be $A_n$, since if $x\notin H$, then $xH\neq H$ and so $\Phi(x)$ is not the identity. Therefore we have that $\Phi$ is an injection and so $|A_n|\mid|\mbox{Bij}(A_n/H)|=|S_{[A_n:H]}|=[A_n:H]!$. If $[A_n:H]<n$, then $n!/2=|A_n|\mid [A_n:H]!<n!$. But $n!/2$ can't divide a number that is strictly less than $n!$, and so we get a contradiction. Therefore $[A_n:H]\geq n$.