I'll give you a few ways of looking at it.
By the fundamental theorem of algebra (one version of it at least), any real polynomial can be factorised as a product of real linear terms (like z-1) and irreducible quadratic terms (quadratic expressions whose discriminants are negative, like z^2+1). Now, any complex roots must therefore arise from factorising these irreducible quadratic terms. As the roots of an irreducible real quadratic are complex conjugates, and as all of the other roots of this polynomial are real (due to the linear terms), the only complex roots occur in conjugate pairs if the original polynomial has only real coefficients.
Or, by the factor theorem, if P(z=a+bi)=0, then z-a-bi is a linear factor of the real polynomial. Only by multiplying z-a-bi by z-a+bi can you possibly get a polynomial that has real coefficients (you can try this if you want; multiply z-a-bi by z-c-di and you'll find that for this polynomial to be real for all z, a=c and b=-d). Thus, another complex root has to be a-bi. Et cetera.