More precisely, the property of being a finite model is not first-order axiomatizable. This means that there is no set $\Gamma$ of first order sentences such that a structure is finite if and only if it satisfies each sentence in $\Gamma.$
Note that it is the “only if” direction that is nontrivial. In fact it is easy to find a single first order sentence that implies a structure is finite, by, say, implying that it has exactly one element.
In fact, for any $n$, it is possible to write down a first order sentence involving only equality that says the structure has more than $n$ elements. And this is essentially how we prove the result: if such a $\Gamma$ existed, it would be consistent with any finite number of these statements, since it is possible for a structure to be finite and have more than $n$ elements for any given $n$. However by the compactness theorem, this means it has to be consistent with all of them, which is impossible since the sentences collectively say that the structure is infinite.