Proof.
Consider the collection
\[ \mathcal{T} = \left\{ \begin{matrix} T \subset |X| \text{ nonempty closed such that there exists a coherent sheaf }
\\ \mathcal{F} \text{ with } \text{Supp}(\mathcal{F}) = T \text{ for which the lemma is wrong}
\end{matrix} \right\} \]
We are trying to show that $\mathcal{T}$ is empty. If not, then because $|X|$ is Noetherian (Properties of Spaces, Lemma 66.24.2) we can choose a minimal element $T \in \mathcal{T}$. This means that there exists a coherent sheaf $\mathcal{F}$ on $X$ whose support is $T$ and for which the lemma does not hold.
If $T$ is not irreducible, then we can write $T = Z_1 \cup Z_2$ with $Z_1, Z_2$ closed and strictly smaller than $T$. Then we can apply Lemma 69.14.1 to get a short exact sequence of coherent sheaves
\[ 0 \to \mathcal{G}_1 \to \mathcal{F} \to \mathcal{G}_2 \to 0 \]
with $\text{Supp}(\mathcal{G}_ i) \subset Z_ i$. By minimality of $T$ each of $\mathcal{G}_ i$ has $\mathcal{P}$. Hence $\mathcal{F}$ has property $\mathcal{P}$ by (1), a contradiction.
Suppose $T$ is irreducible. Let $\mathcal{J}$ be the sheaf of ideals defining the reduced induced closed subspace structure on $T$, see Properties of Spaces, Lemma 66.12.3. By Lemma 69.13.2 we see there exists an $n \geq 0$ such that $\mathcal{J}^ n\mathcal{F} = 0$. Hence we obtain a filtration
\[ 0 = \mathcal{J}^ n\mathcal{F} \subset \mathcal{J}^{n - 1}\mathcal{F} \subset \ldots \subset \mathcal{J}\mathcal{F} \subset \mathcal{F} \]
each of whose successive subquotients is annihilated by $\mathcal{J}$. Hence if each of these subquotients has a filtration as in the statement of the lemma then also $\mathcal{F}$ does by (1). In other words we may assume that $\mathcal{J}$ does annihilate $\mathcal{F}$.
Assume $T$ is irreducible and $\mathcal{J}\mathcal{F} = 0$ where $\mathcal{J}$ is as above. Denote $i : Z \to X$ the closed subspace corresponding to $\mathcal{J}$. Then $\mathcal{F} = i_*\mathcal{H}$ for some coherent $\mathcal{O}_ Z$-module $\mathcal{H}$, see Morphisms of Spaces, Lemma 67.14.1 and Lemma 69.12.7. Let $\mathcal{G}$ be the coherent sheaf on $Z$ satisfying (3)(a) and (3)(b). We apply Lemma 69.14.2 to get injective maps
\[ \mathcal{I}_1^{\oplus r_1} \to \mathcal{H} \quad \text{and}\quad \mathcal{I}_2^{\oplus r_2} \to \mathcal{G} \]
where the support of the cokernels are proper closed in $Z$. Hence we find an nonempty open $V \subset Z$ such that
\[ \mathcal{H}^{\oplus r_2}_ V \cong \mathcal{G}^{\oplus r_1}_ V \]
Let $\mathcal{I} \subset \mathcal{O}_ Z$ be a quasi-coherent ideal sheaf cutting out $Z \setminus V$ we obtain (Lemma 69.13.4) a map
\[ \mathcal{I}^ n\mathcal{G}^{\oplus r_1} \longrightarrow \mathcal{H}^{\oplus r_2} \]
which is an isomorphism over $V$. The kernel is supported on $Z \setminus V$ hence annihilated by some power of $\mathcal{I}$, see Lemma 69.13.2. Thus after increasing $n$ we may assume the displayed map is injective, see Lemma 69.13.3. Applying (3)(b) we find $\mathcal{G}' \subset \mathcal{I}^ n\mathcal{G}$ such that
\[ (i_*\mathcal{G}')^{\oplus r_1} \longrightarrow i_*\mathcal{H}^{\oplus r_2} = \mathcal{F}^{\oplus r_2} \]
is injective with cokernel supported in a proper closed subset of $Z$ and such that property $\mathcal{P}$ holds for $i_*\mathcal{G}'$. By (1) property $\mathcal{P}$ holds for $(i_*\mathcal{G}')^{\oplus r_1}$. By (1) and minimality of $T = |Z|$ property $\mathcal{P}$ holds for $\mathcal{F}^{\oplus r_2}$. And finally by (2) property $\mathcal{P}$ holds for $\mathcal{F}$ which is the desired contradiction.
$\square$
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