Lemma. If $p(z)$ is a non-zero polynomial and $k\geq 1$ a natural number, then there exists a polynomial $q(z)$ of the same degree such that $\frac{d}{dz}\Big(p(z)\cdot e^{kz}\Big) = q(z)\cdot e^{kz}$. (Indeed, \begin{align} \frac{d}{dz}\Big(p(z)\cdot e^{kz}\Big) &= p'(z)\cdot e^{kz} + kp(z)\cdot e^{kz} \\ &= e^{kz}\Big(p'(z) + kp(z)\Big), \end{align} and $p'(z) + kp(z)$ has the same degree as $p(z)$.)$\quad\square$
Recall that $f(z)$ is an algebraic function iff there exists a polynomial $F(z, y)\in\mathbb{Q}[X, Y]$ such that $F(z, f(z))\equiv 0.$
Assume that $e^z$ is algebraic and let \begin{equation} F(z, y) = \sum_{k=0}^n p_k(z)y^k = p_0(z) + \sum_{k=1}^n p_k(z)y^k,\quad p_n(z)\not\equiv 0, \end{equation}
be a polynomial of minimal degree in $y$ such that $F(z, e^z) \equiv 0$.
Now, $p_0(z)$ cannot be the zero polynomial, or else $F(z, y) = y\cdot G(z, y)$, where $G$ is a polynomial of strictly lesser degree in $y$ than $F$ such that $G(z, e^z)\equiv 0$ (this because $e^z$ vanishes nowhere), contradicting the minimality of $deg_y(F)$. So call $d:= deg(p_0\big(z)\big)$ and take $\frac{d^{d+1}}{dz^{d+1}}$ of both sides of the equation $F(z, e^z) \equiv 0$. By linearity of derivative, the lemma, and the fact that the $(d+1)^{th}$ derivative of a degree $d$ polynomial is identically zero, this results in the equation \begin{equation} \sum_{k=1}^n q_k(z)e^{kz} \equiv 0, \end{equation} where $\deg(q_k) = \deg(p_k)$ for all $k\geq 1$. We may factor $e^z$ out of this equation to obtain \begin{equation} e^z\cdot\sum_{k=0}^{n-1} q_{k+1}(z)e^{kz} \equiv 0, \end{equation} and since $e^z$ vanishes nowhere this equality implies that \begin{equation} \sum_{k=0}^{n-1} q_{k+1}(z)e^{kz} \equiv 0. \end{equation}
But this implies that $\deg_y(F)$ was not minimal after all, contradiction. So $e^z$ must be transcendental, ce qu'il fallait démontrer. $\clubsuit$