In the positive direction, it is easiest to note that if $G$ is a finite cyclic group of order $n$ and $k$ divides $n$, then $G$ has a subgroup of order $k$. It is generated by $a^{n/k}$ if $a$ generates $G$. This can be extended to (finite) abelian groups because they are direct sums of cyclic groups.
Every supersolvable group also satisfies the converse of Lagrange's Theorem, and every group that satisfies the converse of Lagrange's Theorem is solvable. This was shown by Bray in "A note on CLT groups," 1968. Every subgroup and every quotient of a supersolvable group is supersolvable, hence satisfies the converse of Lagrange's Theorem.
As Arturo noted, standard results of group theory show that there can be no counterexample whose order is a power of a prime or a product of two distinct primes. But there are other numbers, like $20=2^2\cdot 5$, for which every group with that number of elements satisfies the converse of Lagrange's Theorem. There have been several articles written both on the possible orders of groups that don't satisfy the converse as well as other properties of such groups. One example is a result of Struik in "Partial converses to Lagrange's theorem,", 1978. To quote part of the review by Humphreys (because I don't have the article):
Let $p$ and $q$ be distinct primes with $p$ not dividing $q-1$ and $q$ not dividing $p-1$. Let $e$ be the exponent of $p\ \text{mod}\,q$ and $f$ be the exponent of $q\ \text{mod}\,p$. Then $p^aq^b$ is a CLT number if and only if one of the following four conditions is satisfied: (i) $a<e$ and $b<f$; (ii) $e$ is odd, $a=2e-1$ and $b<f$; (iii) $f$ is odd, $b=2f-1$ and $a<e$; (iv) $e$ and $f$ are both odd, $a=2e-1$ and $b=2f-1$.
For example, if $p=3$ and $q=5$, then $e=4$ and $f=2$, so by part (i) we see that every group of order $45=3^2\cdot 5$ or $135=3^3\cdot 5$ satisfies the converse of Lagrange's Theorem. It is known (as seen for example in Curran's "Non-CLT groups of small order" where such groups are studied) that the numbers less than $100$ that are orders of groups that don't satisfy the converse of Lagrange's Theorem are the following: $12,24,36,48,56,60,72,75,80,84$ and $96$.
(I didn't know any of the results from these articles, but I searched because the question made me interested.)