I found this in the
INTERNATIONAL JOURNAL OF QUANTUM CHEMISTRY, VOL XXIV, 250 (1983)
inside the paper of Elliot H. Lieb with the title Density Functionals for Coulomb Systems and I really don't get it. If somebody could tell me why this holds or give me a hint i would be very thankful.
EDIT:
$\rho : \mathbb{R}^3 \to \mathbb{R}_{\ge 0}$ and $\sqrt{\rho} \in H^1(\mathbb{R}^3) = W^{1,2}(\mathbb{R}^3)$.
By Sobolev embeeding, from $\sqrt\rho\in H^1(\mathbb R^3)$ it follows that $$ \sqrt \rho \in L^6(\mathbb R^3), $$ which implies $$ \rho \in L^3(\mathbb R^3). $$