Please correct my thinking, if anything not make sense to you.
A vector in $R^n$ is nothing but an assemblage of its co-ordinate w.r.t. some basis in the form of $n \times 1$ matrix.
Statement: If set of vectors(w.r.t. some basis) is linearly independent, then it is also a linearly independent set w.r.t. any other basis.
Proof : Since coordinate of a vector w.r.t. some basis B1 can be transformed to coordinate of same vector w.r.t. some other basis B2 by a transformation T that takes basis B2 to basis B1, and which has the full rank.
Thus M1(coordinates of the set of vectors w.r.t. B1 arranged in matrix) $=$ T(matrix obtained by transformation) . M2 (coordinates of the set of vectors w.r.t. B2 arranged in matrix), from this we conclude rank M1 = rank M2.
Is my proof make sense ? Any suggestion will be appreciated.
You needn't constrict your question to $\mathbb{R}^n$, this works in every finite-dimensional vector space $V$. Like said in the comments, every $n$-dimensional vector space $V$ is isomorphic to $\mathbb{R}^n$ by the coordinate mapping.
It might also help to make things more clear for both yourself and others to formulate your claim as "linear independence of a set of vectors is basis-independent".
Your method seems sound to me if you can also prove that $\text{rank}(TM_2)=\text{rank}(M_2)$.
Another nice way to prove that linear (in)dependence is basis-independent is by using the determinant. Remember that the determinant of an $n\times n$-matrix is non-zero iff the rows (and collumns) are linear-independent in $\mathbb{R}^n$. Also, remember the product rule for determinants and ask yourself what the determinant of $T$ will be (or rather - won't be).
Another way is the following:
Let $\{v_1,\dots,v_n \}$ be a linearly independent set of vectors in vector space $V$. Let $T:V\to V$ be a basis transformation. Then the question is if this implies $$\sum_{i=1}^n\lambda_i T(v_i)=0 \iff \forall i\leq n: \lambda_i=0.$$
Since $T$ is linear we have
$$\sum_{i=1}^n\lambda_i T(v_i)=T\Big(\sum_{i=1}^n\lambda_i v_i\Big)=0,$$ so $\sum_{i=1}^n\lambda_i v_i\in \text{ker}(T)$. Now, you should figure out what $\text{ker}(T)$ is and how this implies that $\forall i \leq n:\lambda_i=0$. This then proves that $\{T(v_1),\dots,T(v_n)\}$ is also linearly independent.
You might also want to change the title of your question to something less vague. I would have said this in a comment but I don't have enough reputation.