Assume $\rho\equiv\rho_{AB}$ is pure, $\rho=|\Phi\rangle\!\langle\Phi|$,
and write its Schmidt decomposition as $|\Phi\rangle=\sum_k \sqrt{p_k} |u_k\rangle|v_k\rangle$. Notice that the reduced states then have the form
$$\rho_A = \sum_k p_k |u_k\rangle\!\langle u_k|,
\qquad
\rho_B = \sum_k p_k |v_k\rangle\!\langle v_k|.$$
It follows that
$\langle\psi|\rho_A\otimes\rho_B|\psi\rangle=\sum_{jk} p_j p_k |\langle u_j,v_k|\psi\rangle|^2 = 0$, which implies $\langle u_j,v_k|\psi\rangle=0$ for all $j,k$. The conclusion then follows from
$$\langle\psi|\rho|\psi\rangle=|\langle\Phi|\psi\rangle|^2
=\left|\sum_k \sqrt{p_k}\langle u_k, v_k|\psi\rangle\right|^2 = 0.
$$
To generalise to mixed states, write $\rho=\sum_k q_k \rho_k$ with $\rho_k$ pure, and observe that
- $\rho_A\otimes\rho_B=\sum_{jk} q_j q_k (\rho_j)_A\otimes(\rho_k)_B$
- thus $\langle \rho_A\otimes\rho_B\rangle=0$ implies $\langle(\rho_j)_A\otimes(\rho_k)_B\rangle=0$ for all $j,k$
- thus in particular $\langle(\rho_j)_A\otimes(\rho_j)_B\rangle=0$, implying $\langle \rho_j\rangle=0$ (because each $\rho_j$ is pure)
- thus $\langle\rho\rangle=\sum_k q_k \langle\rho_k\rangle=0$