Step 1 The sequence $(a_n)$ cannot be bounded, if it doesn't converge to 0. Suppose the contrary, then up to a subsequence $(a_{\sigma(n)})$ converges to some value $A$. Let $t = \pi/A$. Then $\exp i t a_\sigma(n) \to -1$ contradicting convergence assumption. (Another way to see this step is to note that if $(a_n)$ were bounded, then the sequence $(\exp i t a_n)$ is equicontinuous, and on any compact interval the convergence must be uniform.)
Step 2 The sequence cannot be unbounded. Assume the contrary, then up to a subsequence we can choose $a_{\sigma(n+1)} > 3 a_{\sigma(n)}$. Without loss of generality we can assume the subsequence is positive. Let $t_n = 2\pi a_{\sigma(n)}^{-1}$. Define a sequence of closed intervals recursively. Let $I_1 = [t_1/4, 3t_1/4]$. By construction $\exists m_2 \in \mathbb{Z}$ such that $m_2t_2, (m_2+1)t_2 \in I_1$. Let $I_2 = [ (m_2 + 1/4) t_2, (m_2 + 3/4) t_2]$.
At each step $I_n$ has length $t_n / 2$. Hence there exists $m_{n+1}$ such that $m_{n+1}t_{n+1}, (m_{n+1}+1)t_{n+1} \in I_n$. And so we construct $I_{n+1}$ analogously.
In particular, we have $I_n \supset I_{n+1} \supset I_{n+2} \ldots$. Furthermore, by construction, $\Re e^{it a_{\sigma(n)}} \leq 0$ for $t \in I_n$.
Then for $t\in \cap_1^\infty I_n$, we have that $\exp i t a_j$ is bounded away from 1 on a subsequence, and hence contradicts the assumption of convergence.