Observe that $g(r)$ is simply the $r$-norm of $x=(x_1,...,x_n)\in\mathbb{R}^n$: $g(r)=e^{\ln({\sum|x_i|^r})^{1/r}}=(\sum|x_i|^r)^{1/r}$. Then it suffices to show that the $r$-norm is decreasing in $r$; and that $\lim_{r\to\infty}g(r)=g(\infty)$, where, with consistent notation, $g(\infty):=\max_i |x_i|$ is the $\infty$-norm.
P.S.: These are well-known results, and both of them have proofs even here on Math SE (e.g. see here and here). If you can't figure them out, I'll record them here as well.
Edit: Sorry for the late completion, here is the proof done in the way your teacher wanted. Let $\forall r\in]0,\infty[: g(r):\mathbb{R^n}\setminus\{0\}\to\mathbb{R^n}\setminus\{0\}, g(r)((x_1,...,x_n)):=e^{\frac{1}{r}\ln{\sum_{i=1}^n}|x_i|^r}=\sum_{i=1}^n |x_i|^{r})^{1/r}$. A few remarks are in order: First, $\forall r\in]0,\infty[: g(r)$ is a well-defined function (of $x$), but for $r<0$, it fails to be a norm. Needless to say, you could also consider $g:]0,\infty[\times(\mathbb{R^n}\setminus\{0\})\to\mathbb{R^n}\setminus\{0\}$. Second, $g$ need not be strictly decreasing in $r$, for instance for $n:=1,x_1:=1$, $g$ is even constant in $r$.
$g$ is a differentiable function of $r$, since it is a composition of such functions. Then we may differentiate:
$g'= g\left[\dfrac{1}{r}\ln{(\sum|a_i|^r)}\right]'= g\left[\dfrac{-\ln{(\sum|a_i|^r)}}{r^2}+\dfrac{\sum(|a_i|^r\ln{|a_i|)}}{r\sum|a_i|^r}\right]= \dfrac{g}{r\sum|a_i|^r}\left[\sum{(|a_i|^r\ln{|a_i|})}-\dfrac{1}{r}\ln{(\sum|a_i|^r)}\sum|a_i|^r\right].$
Observe that $\dfrac{1}{r}\ln{(\sum|a_i|^r)}$ does not depend on $i$, so that we can take it inside the sum:
$\dfrac{g}{r\sum|a_i|^r}\left[\sum{(|a_i|^r\ln{|a_i|})}-\dfrac{1}{r}\ln{(\sum|a_i|^r)}\sum|a_i|^r\right]= \dfrac{g}{r\sum|a_i|^r}\left[\sum{(|a_i|^r\ln{|a_i|})}-\sum{\left(|a_i|^r \dfrac{1}{r}\ln{(\sum|a_i|^r)}\right)}\right]= \dfrac{g}{r\sum|a_i|^r}\left[\sum{|a_i|^r \left(\ln{|a_i|}-\dfrac{1}{r}\ln{(\sum|a_i|^r)}\right) }\right]= \dfrac{g}{r\sum|a_i|^r}\left[\sum{|a_i|^r \ln{\dfrac{|a_i|}{(\sum|a_i|^r)^{1/r}}} }\right].$
Note that $\forall i: |a_i|^r\leq \sum |a_i|^r \implies |a_i|\leq(\sum|a_i|^r)^{1/r} \implies \dfrac{|a_i|}{ (\sum|a_i|^r)^{1/r} }\leq 1 \implies \ln{ \dfrac{|a_i|}{ (\sum|a_i|^r)^{1/r} }} \leq0.$ Then any term inside the bracketed sum is $\leq0$, so that the bracketed sum itself is nonpositive. As the first functional factors are nonnegative, the result follows.
Note: I think you can also prove the same result by induction on the dimension $n$ of $\mathbb{R^n}$.