Let the quadrilateral be ABCD with diagonals AC and BD intersecting at P.
Since they bisect each other and are perpendicular,
△APB,△BPC,△CPD and △DPA are right triangles.
They all are congruent by SAS.
△APB is congruent to the △CPB because they share common side BD,
Side AP and CP are congruent ( since P is the mid point of AC ) and the included angles are both right angles since they are all congruent, their third side ( the hypotenuse of each ) are congruent ( CPCTC ).
A rhombus is a quadrilateral in which all four sides are congruent, so ABCD is a rhombus.
Hence, the answer is proved.