We have this set : $$A=\{1,2,3, \dots , n\}$$
We choose $\left\lceil\frac{n}{2}\right\rceil+1$ numbers from $A$. Can we prove that at least two numbers exist that are divisible ? (In other words, either $a\mid b$ or $b\mid a$.)
Example : If $A = \{1,2,3,\dots ,20\}$ we must choose $11$ numbers to get at least two numbers divisible.
Yes it is true, but only if $n$ is even. There are a lot of counterexamples which are clearly mentioned in comments and other answers too that explains why $n$ can not be odd.
HINT: Try pigeonhole principle.
By factoring out as many $2's$ as possible, any number from the given set can be written as $2^k.a$ where $a$ is odd number and $k\ge0$.
For example $12=2^2\times 3$ and $3$ is odd. $28=2^2\times 7$ and $7$ is odd. $33=2^0\times 33$ and $33$ is odd etc.
Now $a$ can be any odd i.e. $1,3,5...... $ From the given set and there will be $\frac{n}{2}$ of such numbers ($a$). So whenever you select $\frac{n}{2} + 1$th number there must be two numbers having the same value of $a$. For example $l=2^p\times a$ and $m=2^q\times a$.
When $p>q$ then $m|l$ and when $q>p$ then $l|m$.