Because $f(z)$ is entire, it has a Taylor expansion
$$f(z)=a_0+\sum\limits_{n=1}a_nz^n \tag{1}$$
From
$$\left|f(z)\right|\leq A|z|, \forall z\in \mathbb{C} \Rightarrow |f(0)|\leq 0$$
or
$$0=|f(0)|=|a_0| \Rightarrow a_0=0 \Rightarrow f(z)=\sum\limits_{n=1}a_nz^n \tag{2}$$
But then
$$\left|f(z)\right|\leq A|z|, \forall z\ne0 \Rightarrow \left|\sum\limits_{n=1}a_nz^n\right|\leq A|z| \Rightarrow |z|\left|\sum\limits_{n=1}a_nz^{n-1}\right|\leq A|z|\Rightarrow\\
\left|\sum\limits_{n=1}a_nz^{n-1}\right|\leq A, z\ne0$$
or
$$\left|\sum\limits_{n=1}a_nz^{n-1}\right|\leq \max\{A,|a_1|\}, \forall z \in \mathbb{C}$$
This means that $g(z)=\sum\limits_{n=1}a_nz^{n-1}$, which is entire, is also bounded. According to Liouville's theorem $g(z)$ is constant. But $f(z)=z\cdot g(z)$ and the result follows ...
An alternative approach is to apply Cauchy's estimate (like I did here) to $(1)$
$$a_n=\frac{f^{(n)}(0)}{n!}=\frac{1}{2\pi}\int\limits_{C_R}\frac{f(z)}{z^{n+1}}dz$$
leading to
$$|a_n|\leq \frac{1}{2\pi}\int\limits_{C_R}\left|\frac{f(z)}{z^{n+1}}\right||dz|\leq \frac{1}{2\pi}\int\limits_{C_R}\left|\frac{A}{z^{n}}\right||dz|=\frac{A}{R^{n-1}}$$
Taking the $\lim\limits_{R\rightarrow\infty}$ we have $a_n=0,\forall n\geq 2$. As a result, considering $(2)$ too, $f(z)=\sum\limits_{n=1}a_nz^n=a_1z$