Problem 2.1.26 in Bruns and Herzog, CMR, reads as follows: "Let $R$ be a Cohen-Macaulay local ring of dimension $d$ and $M$ a finite $R$-module. Deduce that the $d$-th syzygy of $M$ in an arbitrary finite free resolution is either $0$ or a maximal Cohen-Macaulay module."
Question: Are the hypotheses of the problem enough to guarantee that $M$ has a finite free resolution?
Remark: As a reminder, see also this related question what classes of modules admit finite free resolutions?