The issue here is that you need to define what a 'number' actually is. According to wikipedia - not the best of sources, but should be enough here -'A number is a mathematical object used to count, measure, and label'. Basically, all you need to have some kind of 'numbers' is a set where you have defined operations, giving you - depending on the exact properties - a group, a ring or something else.
Now, if you are talking about extensions of our usual number system with $\mathbb{N},\mathbb{Z},\mathbb{Q}, \mathbb{R},\mathbb{C}$, then for most practical purposes we simply do not need anything more than $\mathbb{C}$.
However, this does in no way mean that there are no further extensions. An instance of those would be the quaternions or octonions mentioned in the answer above. And, indeed, you can keep going indefinitely. However, with each extension while you gain some properties - eg that every polynomial has roots in $\mathbb{C}$ - you also lose some, for example that the expression $z_1<z_2$ does not make sense for complex numbers $z_1,z_2$ anymore.
Still, to go back to the beginning, depending on how you define a number, you really don't need much to get a number. To give you a rough idea, if you say a number is 'a mathematical object used to count, measure and label', then you could simply take two objects - say, bananas and apples -, consider these some weird kind of values, and assign these values to elements of a set. Then you'd already have the property of your 'numbers' labeling something. And, as for being mathematical objects, there's not really much standing in the way of bananas and appleas being such.
As long as you do not explicitly require your numeral system to fulfill some properties - in case of our usual numbers these are given by eg the Peano axioms for naturals - you are fairly free to choose anything as potential numbers.
So, to answer your question: No, we have in no way proven that there are no numbers that don't fit into $\mathbb{C}$. There are even extensions of $\mathbb{C}$ that can be considered numbers. And unless you give a set of properties all numbers have to fulfill, you also won't be able to find a set containing them all - given such a set $A$, you could find a larger set (eg $P(A)$), and just interpret those as numbers. However, for practical purposes, as far as I know the numbers we 'usually' have are wholly sufficient.