Here's a proof: consider the strings of length n or less, suppose there are M of them in total. Their average length is just the sum of all their lengths divided by M, and the average length of their compressed versions is just the total length of the compressed versions divided by M. Since the compression is lossless the compressed strings must all be different.
Since there are M strings, if any of them mapped to a string of length more than n then there must be some string of length at most n not being mapped to, so the average length can be improved by instead mapping that string to the shorter string. So any optimal compression method must map only to the strings of length at most n.
So the M outputs are just the M inputs, possibly permuted. So their total length is the same, and hence their average length is the same.