Reiterating what people said:[tex]\nabla \cdot B = 0[/tex], just like all of Maxwell's equations, is an empirical fact and cannot be proven from first principles. It does, however, follow from some more fundamental expressions. Namely, [tex]B = \nabla \times A[/tex]. Since [tex]\nabla \cdot \nabla \times {\rm anything} = 0[/tex], [tex]\nabla \cdot B = 0[/tex] follows.
Now, [tex]B = \nabla \times A[/tex] is in fact where the classical EM theory meets empirical observations. On the theoretical side, we derive the equations of motion for a charged particle using the least action principle. If we were armed with this principle alone, without knowing anything about electric and magnetic fields, we would eventually conclude that for a reasonable theory we need 4 quantities that will fully characterize the field. These quantities we will call the scalar potential [tex]\phi[/tex] and the vector potential [tex]\vec{A}[/tex]. There exists a general prescription of how to use the least action principle to obtain equations of motion for a particle. Next, we look at the equations, and realize that the quantity [tex]\nabla \times A[/tex] plays the role of the magnetic field in determining the force on the moving particle, for instance. Hence, we have [tex]B = \nabla \times A[/tex]. [tex]\nabla \cdot B = 0[/tex] is, in a sense, mathematically equivalent.
For the equation to not be true, we would have to go back all the way to the original expression for the action and meddle with that. But then, all the kinematic equations of how charged matter interacts with the field would change.