We give a proof by induction over $r$.
The case $r=0$ is easy. Define $$P(i,n) = \sum_{k=1}^n k^i$$ and assume, inductively, that $P(i,n)$ is a polynomial in $n$ of degree $i+1$ with rational coefficients for all $i$ with $0 \le i \le r-1$. We want to show that $P(r,n)$ is a polynomial of degree $r+1$ with rational coefficients, and that the coefficient of $n^{r+1}$ in this polynomial is $1/(r+1)$.
Consider the sum $\sum_{k=1}^n [(k+1)^{r+1} - k^{r+1} ]$, which telescopes, so
$$\sum_{k=1}^n [(k+1)^{r+1} - k^{r+1}] = (n+1)^{r+1} -1 $$
By the Binomial Theorem,
$$\begin{align}
\sum_{k=1}^n [(k+1)^{r+1} - k^{r+1}] &= \sum_{k=1}^n \left[ \sum_{i=0}^{r+1} \binom{r+1}{i} k^i - k^{r+1} \right] \\
&= \sum_{k=1}^n \sum_{i=0}^{r} \binom{r+1}{i} k^i \\
&= \sum_{i=0}^r \binom{r+1}{i} \sum_{k=1}^{n} k^i \\
&= \sum_{i=0}^r \binom{r+1}{i} P(i,n) \\
&= \sum_{i=0}^{r-1} \binom{r+1}{i} P(i,n) + \binom{r+1}{r} \;P(r,n)\\
(n+1)^{r+1} -1 &= \sum_{i=0}^{r-1} \binom{r+1}{i} P(i,n) + (r+1) \;P(r,n) \\
\end{align}$$
Therefore
$$P(r,n) = \frac{1}{r+1}\left( (n+1)^{r+1} -1 - \sum_{i=0}^{r-1} \binom{r+1}{i} P(i,n) \right)$$
The coefficient of $n^{r+1}$ in $(n+1)^{r+1}$ is $1$, and by the inductive hypothesis $P(i,n)$ has degree at most $r$ for $i \le r-1$, so $P(r,n)$ is a polynomial in $n$ of degree $r+1$ with rational coefficients, and the coefficient of $n^{r+1}$ is $1/(r+1)$, as desired.
Note that the final equation can be used to find the formula for the sum $1^r+2^r+3^r+\dots+n^r$, recursively, for a given value of $r$.