One way to see this is via the halting problem. For any program (with a fixed input), there is a truth of the matter of whether it will eventually halt or not. In the formal system, for every (Turing-machine) program P we can define a function s_P(n) that gives us the state of the program after n steps (by recursive definition). Then we can write for any program P the statement H(P) = “there exists a natural number n such that s_P(n) is a halting state”. Furthermore, we can write a program R that, given any program P as input, enumerates all proofs of the formal system (this is possible because proofs are strings, and we can write a program that enumerates all strings) and that for each proof checks if it is a proof of H(P) or of not H(P), and if it finds such a proof, stops and outputs the result (P halts or doesn’t halt). If such a proof exists, then R will eventually find it. And if R would find a proof for any P, then this would solve the halting problem.
But we know that the halting problem is undecidable, which means that there must be programs P for which there is neither a proof of H(P) nor of not H(P). This shows that there are truths (the program will halt or won’t halt) for which there is no proof in the formal system; or alternatively, that the formal system is inconsistent and proves falsities.