Thanks to Deane and Ivo for showing me the way! This answer is based on their comments.
Let $\widetilde{M}$ be the universal cover of $M$. We know that $M =\dfrac{ \widetilde{M}}{\pi_1(M)}$. If $\pi_1(M)$ was finite, then $\widetilde{M}$ would be compact as well (because anytime we have a finitely sheeted covering map $p: X \to Y$ with $Y$ compact, $X$ is compact too - for a proof of this, see this question or this one), but since $\widetilde{M}$ is diffeomorphic to $\mathbb{R}^n$, it is noncompact, so $\pi_1(M)$ cannot be finite.
Alternatively, any covering map $p: \widetilde{M} \to M$ is a fiber bundle over $M$ (with fibers $\{p^{-1}(q) \}_{q \in M}$) with discrete fibers (as seen here or here). If $\pi_1(M)$ is finite, then these fibers are not only discrete but finite (and all of them have the same cardinality, namely $|\pi_1(M) |$) and therefore compact. Now, since the total space (in this case, $\widetilde{M}$) of a fiber bundle with a compact base (in this case, $M$) and compact fibers (in this case, $\{ p^{-1}(q)\}_{q \in M}$) is compact, the finiteness of $\pi_1(M)$ would again imply the compactness of $\widetilde{M}$ (this is a consequence of a more general fact - the total space of a fiber bundle is compact if and only if both its base and fibers are compact, as seen here and here), which we know cannot happen because $\widetilde{M}$ is diffeomorphic to $\mathbb{R}^n$. Hence $\pi_1(M)$ cannot be finite.
One can note that these arguments generalize a bit further: any compact manifold with noncompact universal cover has an infinite fundamental group (so, for example, $\mathbb{S}^2 \times \mathbb{S}^1$ also has an infinite fundamental group, even though it satisfies $K \geq 0$ - although explicitly computing its fundamental group is trivial even without geometry).
UPDATE: For the more general case where the quotient is not a covering space, one can take a look at this blog post.