A puzzle about finding three points $(x,y)$, $(x,z)$ and $(y,z)$ in a subset of a square.

Question

I was asked (by myself) to give a proof of the following seemingly simple geometric statement, but after thinking a little I now suspect it could be less elementary than I thought (or am I being silly?). Does anybody know it, and can give an answer or a reference to it? Of course, I'm quite sure it should fit within a larger theory in combinatorics or in probability, but an elementary answer would be appreciated.

Let $S$ be a (say open) subset of a square $[0,1]^2$ with Lebesgue measure $|S|>1/2$. Then, there exists a rectangle with a vertex on the diagonal, and the other three vertices in $S$ (in other words, there are three points of $S$ of the form $(x,y)$, $(x,z)$ and $(y,z)\\ $).

The constant $1/2$ cannot be lowered, as the example of the subset $S^* :=(0,1/2)\times(1/2,1)\cup(1/2,1)\times(0,1/2)$ shows (for any three points $x,y,z$ in $[0,1]$, at least 2 of them are both either smaller or larger than $1/2$, so the corresponding pair is not in $S^*$.

Answer 1

Let $S(x)=\{y\mid(x,y)\in S\}$ and $S^{-1}(y)=\{x\mid(x,y)\in S\}$, and let $\lambda_n$ denote the Lebesgue measure on $[0,1]^n$. We have

$$\begin{align*} \int_S(\lambda_1S(x)+\lambda_1S^{-1}(y))\,dx\,dy &=\int_S\lambda_1S(x)\,dx\,dy+\int_S\lambda_1S^{-1}(y)\,dx\,dy\\ &=\int(\lambda_1S(x))^2\,dx+\int(\lambda_1S^{-1}(y))^2\,dy\\ &\ge\left(\int\lambda_1S(x)\,dx\right)^2+\left(\int\lambda_1S^{-1}(y)\,dy\right)^2\\ &=2(\lambda_2S)^2>\lambda_2S=\int_S1\,dx\,dy, \end{align*}$$

hence there exists $(x,z)\in S$ such that $\lambda_1S(x)+\lambda_1S^{-1}(z)>1$. This implies $S(x)\cap S^{-1}(z)\ne\varnothing$, i.e., there exists $y$ such that $(x,y),(y,z)\in S$.