The linear action of SL (n, \mathbb{Z}) on \mathbb{R}^n has non-trivial invariant sets and matrices of SL (n, \mathbb{Z}) preserve volume. Here we prove that a Borel measure on \mathbb{R}^n, locally finite at a point, invariant under the linear action of SL (n, \mathbb{Z}) annihilating the set \{tz: t\geq 0,z\in \mathbb{Z}^n\} must be a scalar multiple of the Lebesgue measure. Our result extends a theorem due to S. G. Dani concerning locally finite measures, ergodic under the linear action of SL (n, \mathbb{Z}). Our approach is alternative, it exploits the Euclidean structure of the space and the fact that the probability of n integers being relatively prime is strictly positive.