I'm able to prove it for finitely generated modules, by appealing to the characterization of a projective module as a summand of a free module, and the fact that finite-rank free modules are isomorphic to their duals.
Is it true for all modules? I have seen seemingly conflicting evidence both ways (mostly against, by observations like the dual of the direct sum of countably many copies of $\mathbb{Z}$ is not free (but could it still be projective?).)