In preparation for an introductory talk on category theory, I recently spent some time thinking about natural transformations. The first example, or maybe the second, that everyone gives to motivate the concept of a natural transformation is the double dual: a vector space is naturally isomorphic to its double dual, and category theory makes this notion precise by saying that there is a natural isomorphism between the identity functor and the double dual functor $\text{Vec}_k\to\text{Vec}_k$. At this point, whoever is giving the example cautions that the dual functor $\text{Vec}_k^{\text{op}}\to\text{Vec}_k$ is not naturally isomorphic to the identity functor, and this is because making an isomorphism between a vector space and its dual requires choosing a basis.
But no one ever proves it! Implicitly, there is a "theorem" here to the following effect:
"Theorem": There is no natural isomorphism between the identity functor $\text{Vec}_k\to\text{Vec}_k$ and the dual functor $\text{Vec}_k^{\text{op}}\to\text{Vec}_k$.
The problem with this "theorem" is that, to my knowledge, it doesn't make sense to talk about a natural transformation between a covariant and a contravariant functor. The obvious commutative diagram to write down, something like $$ \newcommand{\ra}[1]{\!\!\!\!\!\!\!\!\!\!\!\!\xrightarrow{\quad#1\quad}\!\!\!\!\!\!\!\!} \newcommand{\la}[1]{\!\!\!\!\!\!\!\!\!\!\!\!\xleftarrow{\quad#1\quad}\!\!\!\!\!\!\!\!} \newcommand{\da}[1]{\left\downarrow{\scriptstyle#1}\vphantom{\displaystyle\int_0^1}\right.} % \begin{array}{ll} V & \ra{f} & W \\ \da{\eta_V} & & \da{\eta_W} \\ V^* & \la{f^*} & W^* \\ \end{array}, $$ will almost certainly not commute -- take, for instance, $f=0$. This failure is caused by the contravariance of the dual functor, not its unnaturality.
My question, then, is this: make precise the claim that there does not exist a natural isomorphism between the identity functor and the dual functor, and prove it.