Let $(R,\mathfrak{m})$ be a Noetherian local ring. If $M$ is a finite length $R$-module, the only associated prime of $M$ is $\mathfrak{m}$ so there is a filtration $$ 0 = M_{0} \subset \dotsb \subset M_{n} = M $$ of $M$ where each successive quotient $M_{i}/M_{i-1}$ is isomorphic to the residue field $R/\mathfrak{m}$. Using the long exact sequence in Ext, we may reduce to the case where $M = R/\mathfrak{m}$. In this case $\mathrm{Ext}_{R}^{k}(R/\mathfrak{m},R)$ is a finitely generated $R$-module which contains $\mathfrak{m}$ in its annihilator. To see that $\mathrm{Ext}_{R}^{k}(R/\mathfrak{m},R)$ is annihilated by $\mathfrak{m}$, note that one way to compute $\mathrm{Ext}_{R}^{k}(R/\mathfrak{m},R)$ is to take a resolution $R \to I^{\bullet}$ of $R$ by injective $R$-modules, apply $\mathrm{Hom}_{R}(R/\mathfrak{m},-)$ to $I^{\bullet}$, then take cohomology. We have that $\mathrm{Hom}_{R}(R/\mathfrak{m},N)$ is annihilated by $\mathfrak{m}$ for any $R$-module $N$.