This is my attempt I know this is incomplete or may even be wrong.
Let $θ_1 \in \arg(z)$ and $θ_2 \in \arg(w)$. Then, $θ_1+θ_2 \in \arg(z)+\arg(w)$.
Also, $θ_1+θ_2 \in \arg(zw)$. Is this sufficient for the proof or correct at all? Hope someone could help me out. Thanks.
EDIT: Just to avoid any confusions I will add how $\arg z$ is defined.
$\arg z=\{\text{Arg}\, z+2\pi k\mid k\text{ is an integer}\}$
Here's a proof: Let $z=r e^{i\theta}$ and $w=s e^{i\phi}$. Then $$\text{Arg}(zw)=\text{Arg}\left(rse^{i\theta}e^{i\phi}\right)=\text{Arg}\left(rse^{i(\theta+\phi)}\right)=\text{Arg}(z)+\text{Arg}(w)\quad(\text{mod }2\pi),$$ where $\text{Arg}(z)\in[0,2\pi)$ is the principal argument of $z$.
However, as Micah commented above, it looks like you're considering sets of all arguments, i.e. to obtain all representations, $$z=re^{i(\theta + 2\pi n)}$$ and $$w=se^{i(\phi+2\pi m)},$$ where $n,m\in\mathbb{Z}$.