We consider entanglement properties of pure finitely correlated states (FCS). We derive bounds for the entanglement of a spin with an interval of spins in an arbitrary pure FCS. Finitely correlated states are also known as matrix product states or generalized valence-bond states. The bounds become exact in the case where one considers the entanglement of a single spin with a half-infinite chain to the right of it. Our bounds provide a proof of the recent conjecture by Benatti, Hiesmayr, and Narnhofer that their necessary condition for nonvanishing entanglement in terms of a single spin and the memory of the FCS is also sufficient. We also generalize the study of entanglement in the Affleck-Kennedy-Lieb-Tasaki model by Fan, Korepin, and Roychowdhury. Our result permits a more efficient calculation, numerically and in some cases analytically, of the entanglement of arbitrary finitely correlated quantum spin chains.