Reasoning-oriented Large Language Models (LLMs) have achieved remarkable progress with Chain-of-Thought (CoT) prompting, yet they remain fundamentally limited by a blind self-thinking paradigm: performing extensive internal reasoning even when critical information is missing or ambiguous. We propose Proactive Interactive Reasoning (PIR), a new reasoning paradigm that transforms LLMs from passive solvers into proactive inquirers that interleave reasoning with clarification. Unlike existing search- or tool-based frameworks that primarily address knowledge uncertainty by querying external environments, PIR targets premise- and intent-level uncertainty through direct interaction with the user. PIR is implemented via two core components: (1) an uncertainty-aware supervised fine-tuning procedure that equips models with interactive reasoning capability, and (2) a user-simulator-based policy optimization framework driven by a composite reward that aligns model behavior with user intent. Extensive experiments on mathematical reasoning, code generation, and document editing demonstrate that PIR consistently outperforms strong baselines, achieving up to 32.70% higher accuracy, 22.90% higher pass rate, and 41.36 BLEU improvement, while reducing nearly half of the reasoning computation and unnecessary interaction turns. Further reliability evaluations on factual knowledge, question answering, and missing-premise scenarios confirm the strong generalization and robustness of PIR.