In the diagram above, by the inscribed angle theorem, the angles at $z_1,z_2$ are equal because they subtend the same chord $z_3z_4$. If $z_1,z_2$ are on opposite sides of the chord the sum of the subtended angles is $\pi$.
Recalling that $\text{arg}\frac{w}{z}$ is the angle between $w$ and $z$,
in the first case (angles equal),
$$\text{arg}\frac{z_1-z_3}{z_1-z_4}=\alpha=\text{arg}\frac{z_2-z_3}{z_2-z_4}.$$
and from there we see that $\text{arg}(z_1,z_2,z_3,z_4)=0 \implies (z_1,z_2,z_3,z_4)\in\mathbb{R}$.
The argument is similar if $z_1,z_2$ are on opposite sides of the chord.
To go in the other direction we observe that
$(z_1,z_2,z_3,z_4)\in\mathbb{R}\implies \text{arg}(z_1,z_2,z_3,z_4)=0 \text{ or }\pi,$ and therefore the angles at $z_1,z_2$ subtended by the segment $z_3z_4$ are either equal or supplementary. In either case we can conclude that the points are either collinear or concyclic.
Bonus mnemonic. The cross ratio formula can be difficult to remember, whether it is for the complex plane, or for collinear points in projective geometry. This geometric interpretation gives a good mnemonic. In the diagram there are two paths to get from $z_3$ to $z_4$ via the other points: $z_3\to z_1\to z_4$, and $z_3\to z_2\to z_4$. For each path take the ratios of the path segments, and then the ratio of these ratios:
$$ \frac{z_3\to z_1}{z_1\to z_4}:\frac{z_3\to z_2}{z_2\to z_4}$$
Rewriting $w\to z$ as $w-z$ we get (*)
$$ \frac{z_3-z_1}{z_1-z_4}:\frac{z_3-z_2}{z_2-z_4},$$
which is equivalent to Ahlfors' definition
$$ \frac{z_1-z_3}{z_1-z_4}:\frac{z_2-z_3}{z_2-z_4}.$$
(*) Technically, instead of $w-z$ we should have rewritten $w\to z$ in 'vector' style as $z-w$ but $z-w=-(w-z)$ and all the minus signs cancel. This way we get a cross ratio formula that's easy to 'read' as two paths from $z_3$ to $z_4$.