For $m\geq n$, the group $S_m$ contains a copy of $S_n$. For the given numbers if you calculate $n^2-1$ you get $4!,5!$ and $7!$ respectively. Thus they all have such subgroups.
You can compute these subgroups very easily. For example $$S_4=\{1, (12), (13), (14), (23), (24), (34)
(12)(34), (13)(24), (14)(23)
(123), (124), (132), (134), (142), (143), (234), (243) (1234), (1243), (1324), (1342), (1423), (1432)\}$$ and it can be seen as a subset of $S_5$ since $S_5$ also contains very similar permutations. Similarly, $S_5\subseteq S_{11}$ and $S_7\subseteq S_{71}$.
Edit : Of course the statement is not true in general. In some cases, $n^2-1$ does not divide $n!$ and even if it does there may not be such a subgroup.