Yes, it is possible. What follows isn't a completely rigorous proof, but you should be able to make one from that.
The basic idea is to construct a set $A$ such that along one subsequence, $\lim |A \cap I_{a_n}|/a_n = 1$ and along another subsequence, $\lim |A \cap I_{b_n}|/b_n = 0$. We'll do this by adding or skipping consecutive "chunks" of integers.
- Start by adding $1$ to $A$. We're at density $1$.
- Then skip $2$. For $n = 2$, we have $|A \cap I_2|/2 = 1/2$.
- Now add $3$ and $4$, so that $|A \cap I_4|/4 = 3/4$.
- Now skip $5$ through $12$, so that $|A \cap I_{12}|/12 = 3/12 = 1/4$.
This should give you an idea of how the following works:
- "Add" enough integers so that you're back to density $\geq (2^n - 1)/2^n$
- Then "skip" enough integers so that you're below density $\leq 1/2^n$.
Repeat the two steps in order. Along the two subsequences constructed, the limit of the density is either 1 or 0.