documentclass{article}
usepackage{amsthm}
begin{document}
begin{proof}
end{proof}
end{document}

documentclass{article}
usepackage{amsthm}
usepackage{xpatch}
makeatletter
xpatchcmd{proof}{@addpunct{.}}{@addpunct{:}}{}{}
makeatother
begin{document}
begin{proof}
end{proof}
end{document}

makeatletter
xpatchcmd{proof}{@addpunct{.}}{normalfont,@addpunct{:}}{}{}
makeatother

documentclass[a4paper,12pt]{article}
usepackage{amsmath,amsthm}
makeatletter
renewenvironment{proof}[1][proofname]{par
pushQED{qed}%
normalfont topsep6p@@plus6p@relax
trivlist
itemrelax
{itshape
#1@addpunct{:}}hspacelabelsepignorespaces
}{%
popQEDendtrivlist@endpefalse
}
makeatother
begin{document}
begin{proof}
Here comes the proof.
end{proof}
end{document}

documentclass{article}
usepackage{amsthm}
begin{document}
begin{proof}[Proof:nopunct]
end{proof}
end{document}