If $\lambda=0$ the statement may be true or false, depending on the matrix $A$.
The easiest example is for $A=0$ a null matrix: the only eigenvalue of both $A^T\!A$ and $AA^T$ is $0$ and every nonzero vector is an eigenvector.
For a case when the statement is false, consider $A=[1\ 0]$. Then
$$
AA^T=[1],\qquad A^TA=\begin{bmatrix} 1 & 0 \\ 0 & 0 \end{bmatrix}
$$
so $0$ is not even an eigenvalue of $AA^T$, but it is of $A^T\!A$.
If you consider the full statement, that is,
if $0$ is an eigenvalue of both $A^T\!A$ and $AA^T$ and $v$ is an eigenvector of $A^T\!A$ relative to $0$, then $Av$ is an eigenvector of $AA^T$ relative to $0$,
then this statement is indeed false, because the assumption is that $A^T\!Av=0$, so $v^T\!A^T\!Av=0$ as well, which implies $Av=0$.