Let $A\in \mathbb{C}^{m\times m}$. Suppose $A-\lambda I$ is not invertible. Then its rows are linearly dependent; i.e. if $r_1,\cdots,r_m$ are the row vectors of $A-\lambda I$ then there exists complex numbers $c_1,\cdots,c_m$, not all zero, such that $c_1r_1 + \cdots + c_mr_m = 0$ (is the zero vector in $\mathbb{C}^m$).
Conjugating everything gives $\overline{c_1} \text{ } \overline{r_1} + \cdots + \overline{c_m} \text{ }\overline{r_m} =0$. This implies that the column vectors of $A^{\ast} - \overline{\lambda}I$ are linearly dependent because $\overline{r_j}$ is the $j$th column vector of $A^{\ast}-\overline{\lambda}I$.
Thus we can see that
$$A-\lambda I \text{ not invertible } \to A^{\ast}-\overline{\lambda} I \text{ not invertible } \to (A^{\ast})^{\ast} - \overline{\overline{\lambda}} I = A-\lambda I \text{ not invertible }$$