If the natural density of $A = \{a_i\}$ exists, then we can show that it must be zero.
Let $\displaystyle S_{n} = \frac{|A \cup [1,n]|}{n}$
Now $\displaystyle \{\frac{n}{a_n}\}$ is a subsequence of $S_{n}$ and so if the limit is $\displaystyle 2\delta > 0 $ then we have that for all $\displaystyle n > N_0$, $\displaystyle \frac{n}{a_n} > \delta$ and so $\displaystyle \frac{1}{a_n} > \frac{\delta}{n}$ for all $\displaystyle n > N_0$ and so $\displaystyle \sum \frac{1}{a_n}$ diverges.
The main problem is actually showing that the limit exists.
It is easy to show that $\liminf$ is zero: If the limit was $\displaystyle 2\delta > 0$ then for all $n > N_{0}$, $S_{n} > \delta$ and an argument similar to above works.
Now suppose $\displaystyle \limsup S_n = 2\delta > 0$. Then there is a subsequence $\displaystyle S_{N_1}, S_{N_2}, ..., S_{N_k}, \dots $ which converges to $\displaystyle 2\delta$.
Now we can choose the subsequence so that $\displaystyle S_{N_i} > \delta$ and $\displaystyle N_{k+1} > \frac{2N_{k}}{\delta}$
Now the number of elements of $\displaystyle A$ in the interval $\displaystyle (N_{k}, N_{k+1}]$ is atleast $\displaystyle \delta N_{k+1} - N_k \ge \delta N_{k+1} - \frac{\delta N_{k+1}}{2} \ge \frac{\delta N_{k+1}}{2}$ and so the sum of reciprocals in that interval is atleast $\displaystyle \frac{\delta N_{k+1}}{2} \frac{1}{N_{k+1}} = \displaystyle \frac{\delta}{2}$
And so the sum of reciprocals must diverge.
Hence $\displaystyle \limsup S_n = 0 = \liminf S_n$ and thus $\displaystyle \lim S_n = 0$ and thus the natural density is zero.