[guided]If $r=0$, the fiber over every point is the zero vector space. Hence $E$ and $X \times \mathbb{C}^0$ are both the zero vector bundle over $X$, and the unique fiberwise linear map is holomorphic. We therefore assume $r \geq 1$, so that $\operatorname{GL}_r(\mathbb{C})$ is the usual complex Lie group of invertible $r \times r$ matrices.
Because $E$ is a holomorphic vector bundle, it is locally holomorphically isomorphic to the product bundle. Choose a holomorphic trivializing open cover $\mathcal{U} = \{U_\alpha\}_{\alpha \in A}$ of $X$. For each index $\alpha \in A$, choose a holomorphic vector-bundle isomorphism over $U_\alpha$,
\begin{align*}
\varphi_\alpha: \pi^{-1}(U_\alpha) &\to U_\alpha \times \mathbb{C}^r.
\end{align*}
This means that $\varphi_\alpha$ is holomorphic, fiberwise complex-linear, and sends the fiber $E_x$ to $\{x\}\times \mathbb{C}^r$ for every $x \in U_\alpha$.
For two indices $\alpha,\beta \in A$, set $U_{\alpha\beta}:=U_\alpha \cap U_\beta$. On $U_{\alpha\beta}$, both $\varphi_\alpha$ and $\varphi_\beta$ describe the same bundle in product coordinates. Therefore their coordinate-change map has the form
\begin{align*}
\varphi_\alpha \circ \varphi_\beta^{-1}(x,v) = (x, g_{\alpha\beta}(x)v),
\end{align*}
where
\begin{align*}
g_{\alpha\beta}: U_{\alpha\beta} &\to \operatorname{GL}_r(\mathbb{C})
\end{align*}
is the unique matrix-valued map determined by this identity. The map lands in $\operatorname{GL}_r(\mathbb{C})$ because the coordinate change is an isomorphism on every fiber. It is holomorphic because the coordinate change $\varphi_\alpha \circ \varphi_\beta^{-1}$ is holomorphic and fiberwise linear.
Now take three indices $\alpha,\beta,\gamma \in A$ and write $U_{\alpha\beta\gamma}:=U_\alpha \cap U_\beta \cap U_\gamma$. For $x \in U_{\alpha\beta\gamma}$ and $v \in \mathbb{C}^r$, we compute the same coordinate change from the $\gamma$-chart to the $\alpha$-chart in two ways:
\begin{align*}
\varphi_\alpha \circ \varphi_\gamma^{-1}(x,v)
&= (x, g_{\alpha\gamma}(x)v), \\
\varphi_\alpha \circ \varphi_\beta^{-1}\bigl(\varphi_\beta \circ \varphi_\gamma^{-1}(x,v)\bigr)
&= \varphi_\alpha \circ \varphi_\beta^{-1}(x,g_{\beta\gamma}(x)v) \\
&= (x,g_{\alpha\beta}(x)g_{\beta\gamma}(x)v).
\end{align*}
Since this holds for every $v \in \mathbb{C}^r$, we obtain
\begin{align*}
g_{\alpha\gamma}(x)=g_{\alpha\beta}(x)g_{\beta\gamma}(x).
\end{align*}
Also $g_{\alpha\alpha}(x)=I_r$, where $I_r$ denotes the identity matrix. These identities are precisely the Čech cocycle identities, so $g=\{g_{\alpha\beta}\}$ represents a class in the nonabelian pointed set $H^1(X,\operatorname{GL}_r(\mathcal{O}_X))$.[/guided]