Stephen Griffeth's argument works over any field. The total space of a vector bundle is never proper (follows by, e.g., valuative criterion for properness). On the other hand, $P^n$ is always proper.
Here is an argument that the total space of a vector bundle is not proper: A fiber of a vector bundle is isomorphic to $A^n$ . Moreover, the fiber considered as a subscheme is a closed subscheme. You can map $(A^1 setminus 0)$ into the fiber by a map like $f(x)=1/x$. This map can't extend over zero, because if it did, then zero would be sent to something in the closure of the fiber. But the fiber is already closed, so zero would be sent to the fiber, contradiction.
Edit: Of course, amaanush's answer is a much better answer than mine!
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