I was able to prove that by contradiction, showing that (for example) if $a > sup(a_n) = s$, then also $s$ is a limit of the sequence $(a_n)$.
I was wondering if it can be proved in some other way.
I actually proved it starting from the cases $a < a_n$ and $a \ge a_n$ for all $n$, but I think I cannot do that as $(a_n)$ has infinitely many elements and in some sense the argument is circular.
Here's a more general argument: If $a_n\le M$ for all $n$ and $a_n\to a$, then $a\le M$ as well. We'll give a direct proof.
Given any $\epsilon>0$, we know that there is an $N$ so that $|a_n-a|<\epsilon$ for all $n\ge N$. So this means that $-\epsilon<a_n-a<\epsilon$ for all $n\ge N$. In particular, we find that $$a-\epsilon<a_N\le M.$$ This tells us that $a<M+\epsilon$. But $\epsilon>0$ is arbitrary, and so $a\le M$.