@AmanKushwaha pointed out that my original answer involved circular reasoning.
Here is a short proof based on Proposition 3.6 in Conway's book that shows that the image of $\mathbb{R}_\infty$ under a Möbius transformation is a circle.
By "circle" I mean a circle or line. By a line, I mean a set of the form $L= \{ z_0+th \}_{t \in \mathbb{R}_\infty}$, where $z_0,h \in \mathbb{C},h \neq 0$.
By way of notation, if $A \subset \mathbb{C}$ and $h \in \mathbb{C}$, let $hA = \{ ha \mid a \in A \}$.
To simplify subsequent computations, note that we can write $L = h\{ t + {z_0 \over h } \}_{t \in \mathbb{R}_\infty} = h \{ t + i \operatorname{im} {z_0 \over h } \}_{t \in \mathbb{R}_\infty}$, so we can write $L = h \{ t+ i \sigma \}_{t \in \mathbb{R}_\infty}$, where $\sigma \in \mathbb{R}$.
The following shows that a Möbius transformation transforms lines into a "circle". Note that a line is a "circle".
Proposition 3.6 shows that any Möbius transformation can be written as the composition of translations, dilations and inversion (not all need be present). It is straightforward to see that translations & dilations transform lines into lines and "circles" into "circles".
More specifically, the proposition shows that the transformation can be written as the composition of a translation and a dilation, or the composition of a translation, a dilation, and inversion and a translation.
In particular, it is sufficient to show that $S(z) = {1 \over z}$ maps lines into a "circle".
Let $L$ be a line of the form above.
If $\sigma=0$ then it is clear that
$S(L)=S(h\mathbb{R}_\infty) = {1 \over h} \mathbb{R}_\infty$, so assume $\sigma \neq 0$. A quick computation shows that
$S(h(t+ i \sigma)) -{1 \over 2 h i \sigma} = -{1 \over 2 hi \sigma} \overline{t+i \sigma \over t+i \sigma}$ and it is straightforward to check that $\{ \overline{t+i \sigma \over t+i \sigma} \}_{t \in \mathbb{R}_\infty } = \{ z \}_{|z|=1}$ and so $S(L)$ is a circle of radius ${1 \over 2|\sigma h|}$ and centre ${1 \over 2 hi \sigma}$.
Old answer: (Not correct as it involved circular reasoning.)
Note that $\mathbb{R}_\infty$ is a "circle", and a "circle" is uniquely defined by any three distinct points in $\mathbb{C}_\infty$. In particular, the three points $1,0,\infty$ uniquely define the "circle" $\mathbb{R}_\infty$.
Suppose any Möbius transformation transforms $\mathbb{R}_\infty$ into a "circle".
Define $S(z) = (z,z_2,z_3,z_4)$. Note that $S^{-1}$ is also a Möbius transformation.
Suppose $S(z_1) \in \mathbb{R}$. Then $S(z_1), 1,0,\infty \in \mathbb{R}_\infty$, and
$S^{-1}$ transforms $\mathbb{R}_\infty$ into a "circle", and
$S^{-1}(S(z_1))=z_1, S^{-1}(1)=z_2, S^{-1}(0)=z_3, S^{-1}(\infty)=z_4$, hence the $z_k$
lie on a "circle".
Now suppose the $z_k$ lie on a "circle" $\Gamma$. Since $S^{-1}(z_k) \in \mathbb{R}_\infty$ for $k=2,3,4$ we see that $S(\mathbb{R}_\infty) = \Gamma$ and since $z_1 \in \Gamma$, we see that $S^{-1}(z_1) \in \mathbb{R}_\infty$. Since $S$ is invertible on $\mathbb{C}_\infty$, and $z_1 \neq z_4$ we see that $S^{-1}(z_1) \neq \infty $ and hence
$S^{-1}(z_1) \in \mathbb{R}$.