Here is a proof in the smooth category. Let $\alpha : G \times X \to X$ be an action of a Lie group $G$ on a smooth manifold $X$. For $x \in X$, the image of the map $\alpha(-, x) : G \to X$ is the orbit containing $x$. If $\dim G \lt \dim X$, then by Sard's lemma the image of $\alpha(-, x)$ has measure zero for any $x$, and consequently $X$ cannot be the union of finitely or even countably many orbits.