The function $f(x) = |x|^{-(n+1)}$ on $\mathbb{R}^n$ is obviously unbounded as we approach $0$. Thus, in order to prove that the function is not integrable on $\mathbb{R}^n$, I use the following evaluation
$$\int_{\mathbb{R}^n} f(x) d \mu (x) \ge \int_{|x| < \epsilon} f(x) d \mu (x) \ge \int_{|x| < \epsilon} \epsilon ^{-(n+1)} d \mu (x) = c\epsilon ^n \times\epsilon ^{-(n+1)} = \dfrac{c}{\epsilon} $$ and let $\epsilon \to 0$
Please help me to verify my argument.
Furthermore, can the power $-(n+1)$ be replaced by $-n$? I think the answer is negative, but I can't prove it.
Your argument is correct. To prove that the result is true with $n+1$ replaced by $n$ note that $\int \frac 1 {|x|^{n}} \geq \sum_k \int_{R_k \leq |x| \leq R_{k+1}} \geq \sum_k \frac {cR_{k+1}^{n}-cR_k^{n}} {R_{k+1}^{n}}$ for any increasing sequence $\{R_k\}$. Choose these numbers so that $\frac {R_{k+1}} {R_k} \to \infty$ to see that the general term of the series here does not tend to $0$ and hence the series is divergent.