If $\lim \sup a_n = l \in \mathbb R$, then given $\epsilon > 0, \exists N$ such as $a_n < l + \epsilon, \quad \forall n \geq N$.
So,
Let $(a_{n_k})$ subsequence such as $a_{n_k} \to l$. Given $\epsilon > 0, \exists k_0$, if $k \geq k_0, \quad |a_{n_k} - l| < \epsilon$.
Let $(a_{n_j})$ another subsequence such as $a_{n_k} \to k \leq l$. Given $\epsilon > 0, \exists j_0$, if $j \geq j_0, \quad |a_{n_j} - l| < \epsilon$.
How can I continue the proof?