For arbitrary $n\ge 1$, is it true that (at least) one of the orthogonal groups $O^\pm(2n,2)$, consisting of $2n\times 2n$ matrices over the field of order $2$, has an element of order $2n+1$?
A quick check in MAGMA shows that it is true for $n\le 7$ (code still running for $n=8$). There is not an obvious pattern in the matrices found, but there are many solutions in each case, so some nice construction may be possible.
EDIT: Reducing to $2n+1$ prime
We can reduce to $2n+1$ prime as follows. This means that it is sufficient to prove that $2n+1$ divides the order of one of $O^\pm(2n,2)$ when $2n+1$ is prime. A quick check shows that this is true for primes $p<1000$.
Suppose the above is true when $2n+1$ is prime and $2n+1$ is the smallest non-prime for which the above does not hold. Then $2n+1=(2u+1)(2v+1)$ for some $u,v>1$ and $O^\epsilon(2u,2)$ has an element $M$ of order $2u+1$ for some $\epsilon\in\{\pm\}$. One can check then that the following is an element of $O^{\epsilon'}(2n,2)$ (in the appropriate basis for some $\epsilon'\in\{\pm\}$) and has order $2n+1$ contrary to assumption:
$$\left(\begin{matrix} \mathbf{0}_{2u} & M & \mathbf{0}_{2u} & \cdots & \cdots & \cdots & \mathbf{0}_{2u} & \mathbf{0}_{2v} \\ \mathbf{0}_{2u} & \mathbf{0}_{2u} & \mathbf{1}_{2u} & \mathbf{0}_{2u} & \cdots & \cdots & \mathbf{0}_{2u} & \mathbf{0}_{2v} \\ \mathbf{0}_{2u} & \cdots & \mathbf{0}_{2u} & \mathbf{1}_{2u} & \mathbf{0}_{2u} & \cdots & \mathbf{0}_{2u} & \mathbf{0}_{2v} \\ \vdots & \ddots & \ddots & \ddots & \ddots & \ddots & \vdots & \vdots \\ \mathbf{0}_{2u} & \cdots & \cdots & \cdots & \cdots & \mathbf{0}_{2u} & \mathbf{1}_{2u} & \mathbf{0}_{2v} \\ \mathbf{1}_{2u} & \mathbf{0}_{2u} & \cdots & \cdots & \cdots & \cdots & \mathbf{0}_{2u} & \mathbf{0}_{2v} \\ \mathbf{0}_{2u} & \cdots & \cdots & \cdots & \cdots & \cdots & \mathbf{0}_{2u} & \mathbf{1}_{2v}\\ \end{matrix}\right)$$
The symmetric group $S_{2n+1}$ embeds into ${\rm SO^+}(2n,2)$ when $n \equiv 0,3 \bmod 4$ and into ${\rm SO^-}(2n,2)$ when $n \equiv 1,2 \bmod 4$, via the deleted permutation module.
This is proved, for example, on page 187 of Kleidman and Liebeck's book "The Subgroup Structure of the Finite Classical Groups" where the quadratic form that is preserved is identified (well, actually, they do it for $A_{2n+1}$, but the proof works for $S_{2n+1}$).