I was trying to give an answer to this very same question by means of group actions (so I think this is not a duplicate, at least as long as the answers therein do not use group actions).
My attempt: If such a $H$ exists, then there is a homomorphism from $S_5$ onto $S_4$ with kernel $H$. But then, there is an action of $S_5$ on $X:=\{1,2,3,4\}$ with kernel $H=\bigcap_{i=1}^4\operatorname{Stab(i)}$. $X$'s partitioning into orbits can be any of the following:
a) $4=1+1+1+1$,
b) $4=1+1+2$,
c) $4=2+2$, and
d) $4=4$.
By the Orbit-Stabilizer Theorem, case a) corresponds to $\operatorname{Stab(i)}=S_5, \forall i\in X$, whence $H=S_5$: contradiction; cases b) and c) correspond to $|H|=5!/2=60$: contradiction. Finally, case d) corresponds to a transitive action and hence the $4$ stabilizers are conjugate in $S_5$.
How can I conclude from here?
Edit. I've just realized that also the case $4=1+3$ must be addressed.
Edit#2. Also the cases b) and c) are not so plain as I thougth, since the subgroups of index $2$ might not be unique, in principle.