If you prefer a direct proof without using the chain rule, use the definition of the derivative. We can prove something slightly more general. If
$$g(x) = \frac{d}{dx}f(x) = \lim_{h \to 0}\frac{f(x+h) - f(x)}{h}$$
and ##a(x) = f(cx)## where ##c## is any nonzero real number,
$$\begin{align}
\frac{d}{dx} a(x) &= \lim_{h \to 0} \frac{a(x+h) - a(x)}{h} \\
&= \lim_{h \to 0} \frac{f(c(x+h)) - f(cx)}{h} \\
\end{align}$$
Letting ##k = ch##, we note that ##h \to 0## if and only if ##k \to 0##, so the above is equivalent to
$$\begin{align}
\frac{d}{dx} a(x) &= \lim_{k \to 0} \frac{f(cx + k) - f(cx)}{k/c} \\
&= c \lim_{k \to 0} \frac{f(cx + k) - f(cx)}{k} \\
&= c g(cx) \\
\end{align}$$
Your case follows by setting ##c = -1##.