In general, $A_{n+1}$ is the group of rotations of the $n$-simplex; explicitly, $A_{n+1}$ acts by permutation matrices on
$$\Delta_n = \{ (x_0, \dots x_n) \in \mathbb{R}^{n+1}_{\ge 0} : \sum_{i=0}^{n+1} x_i = 1 \}.$$
This is most familiar when $n = 2$, where it just says that $A_3 \cong C_3$, the cyclic group of order $3$, is the group of rotations of the triangle. When $n = 3$ we get that $A_4$ is the group of rotations of the tetrahedron.
We can use this to show conceptually that $A_4$ is not simple: the action of $A_4$ on the tetrahedron induces an action on the set of pairs of opposite edges of the tetrahedron, of which there are $3$. This gives a nontrivial homomorphism $A_4 \to S_3$, whose kernel must therefore be a nontrivial normal subgroup. So $A_4$ is not simple. If we allow reflections then we get the full symmetric group $S_4$ and a surjective homomorphism $S_4 \to S_3$, and this turns out to be responsible for the existence of the resolvent cubic of a quartic.
This argument doesn't work in general because we just can't find a corresponding set of features of the $n$-simplex which $A_{n+1}$ permutes and which is still small enough to get a homomorphism to a smaller group (or rather, there are no obvious choices, and simplicity guarantees that there aren't any non-obvious choices either). For example, for $n = 4$ the set of pairs of non-adjacent edges has cardinality $\frac{5!}{2! 2! 2!} = 15$ and it just gets worse from there.
As Arturo says in the comments, this sort of "law of small numbers" phenomenon happens all the time in mathematics; we have a general argument that works most of the time but in some small cases it doesn't have enough "room" to work, so those small cases end up being exceptions to the general pattern. Sometimes one can find interesting explanations of the exceptions.