[proofplan]
We prove the identity directly in $\mathbb{Z}$ by expanding the two squares on the right-hand side. The cross terms cancel, leaving exactly the product $(a^2+b^2)(c^2+d^2)$. Substituting the hypotheses $m=a^2+b^2$ and $n=c^2+d^2$ then gives the asserted representation of $mn$ as a sum of two integer squares.
[/proofplan]
[step:Verify that the proposed summands are integers]
Define
\begin{align*}
r &:= ac - bd, \\
s &:= ad + bc.
\end{align*}
Since $a,b,c,d \in \mathbb{Z}$ and $\mathbb{Z}$ is closed under addition, subtraction, and multiplication, we have $r,s \in \mathbb{Z}$. Thus $r^2+s^2$ is a [sum of two squares](/theorems/1725) in $\mathbb{Z}$.
[/step]
[step:Expand the proposed sum of squares and cancel the cross terms]
Using distributivity and commutativity of multiplication in $\mathbb{Z}$, we compute
\begin{align*}
(ac-bd)^2 + (ad+bc)^2
&= \left(a^2c^2 - 2abcd + b^2d^2\right)
+ \left(a^2d^2 + 2abcd + b^2c^2\right) \\
&= a^2c^2 + a^2d^2 + b^2c^2 + b^2d^2 \\
&= a^2(c^2+d^2) + b^2(c^2+d^2) \\
&= (a^2+b^2)(c^2+d^2).
\end{align*}
[/step]
[step:Substitute the hypotheses to obtain the representation of $mn$]
By the hypotheses,
\begin{align*}
m = a^2+b^2, \qquad n = c^2+d^2.
\end{align*}
Substituting these equalities into the identity established above gives
\begin{align*}
(ac-bd)^2 + (ad+bc)^2
= (a^2+b^2)(c^2+d^2)
= mn.
\end{align*}
Since $ac-bd$ and $ad+bc$ are integers, this proves that $mn$ is a sum of two squares in $\mathbb{Z}$, with the explicit representation
\begin{align*}
mn = (ac-bd)^2 + (ad+bc)^2.
\end{align*}
[/step]