In a one particle system, the probability of finding the electron between $\mathbf{r}$ and $\mathbf{r}+d\mathbf{r}$ is $|\Psi(\mathbf{r})|^2d\mathbf{r}$, with the probability density $\rho(\mathbf{r})=|\Psi(\mathbf{r})|^2$.
In a many-electron system, the probability of finding electron 1 in the volume element $d\mathbf{r}_1$ at $\mathbf{r}_1$, electron 2 in the volume element $d\mathbf{r}_2$ at $\mathbf{r}_2$, and so on, is $|\Psi(\mathbf{r}_1,\mathbf{r}_2,\dots,\mathbf{r}_N)|^2d\mathbf{r}_1 d\mathbf{r}_2\dots d\mathbf{r}_N$. Therefore, the probability of finding electron 1 in the volume element $d\mathbf{r}_1$ at $\mathbf{r}_1$ and the other electrons elsewhere is
$$P(1)=\left[\int|\Psi(\mathbf{r}_1,\mathbf{r}_2,\dots,\mathbf{r}_N)|^2 d\mathbf{r}_2\dots d\mathbf{r}_N\right]d\mathbf{r}_1=\rho(\mathbf{r}_1)d\mathbf{r}_1$$
This probability is exactly the same for all electrons, because they are indistinguishable, so we don't care about the label. Thus, the probability density of finding an electron in the volume element $d\mathbf{r}$ at $\mathbf{r}$ and the other $N-1$ electrons elsewhere is $N$ times the probability to find one of the electrons at that region. That is,
$$\rho(\mathbf{r})=N\int|\Psi(\mathbf{r},\mathbf{r}_2,\dots,\mathbf{r}_N)|^2 d\mathbf{r}_2\dots d\mathbf{r}_N$$