I would like to prove the statement in my question, at least for the case $n=4$. Here is some context for it; in the study of the general Jordan curve theorem, one confronts with the following result (36.2 in Munkres' book, 19.4 in Bredon's, 2B.1 b) in Hatcher's)
Theorem. For an embedding $h:\mathbb{S}^r\rightarrow\mathbb{S}^n$ with $r<n$, one has that $$\tilde H_i(\mathbb{S}^n-h(\mathbb{S}^r))\cong\begin{cases} \mathbb{Z},&\text{ if }i=n-r-1\\ 0&\text{ otherwise} \end{cases}$$
This completely chatacterizes the homology of the space $\mathbb{S}^n-h(\mathbb{S}^r)$, but it does not say anything about its fundamental group; a very well-known example of this wild behaviour is given by Alexander's Horned sphere, for it is an embedding of $\mathbb{S}^2$ in $\mathbb{S}^3$ whose complement is not simply connected.
However, I think this kind of behaviour does not happen when $r=1$ and $n\geq 4$; in other words, the complement of any simple closed curve in $\mathbb{R}^n$ for $n\geq 4$ must be simply connected.
The inuition is clear in simple cases, but how can we prove it from the previous facts, if possible?