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I came across a fact that: Every connected Lie group $G$ possesses a compact subgroup $K$ having the property that $G/K$ is diffeomorphic to a vector space. I would like to see the proof of this fact. Moreover, does $K$ have to be Lie subgroup?

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    A closed subgroup must be a Lie subgroup.2017-01-08
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    yes sure since $G$ is Hausdorff.. thanks2017-01-08

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This is a consequence of the theorem of Malcev Iwasawa: If $K$ is a maximal subgroup of $G$, then $G/K$ is homeomorphic to a vector space.

A. Malcev, On the theory of the Lie groups in the large, Mat.Sbornik N.S. vol. 16 (1945) pp. 163-189

K. Iwasawa, , On some types of topological groups, Ann. of Math. vol.50 (1949) pp. 507-558.
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    "maximal" $\to$ "maximal compact"2017-01-08