- Massage -- Your massage therapist has an easier time (and you get a more comfortable massage) if there's no hair reducing the skin-to-skin contact. Even if you massage yourself, massage tools like "The Stick" can catch leg hair, which is an unpleasant feature of the furry massage.
- Aesthetics -- Most men generally continue to grow more hair as they get older (and beyond when they die). Really furry "Sasquatch" legs just look ugly. When the hair layer gets thicker than the legs, it can cause nausea in younger people around the bigfoot-like creature. I use a hair trimmer to "butch" my legs, but never shave them smooth anymore. A smooth shave also allows the most definition of your hard-earned muscle ripple show through. This is why professional bodybuilders shave their entire bodies. They just don't take as much flack for it as cyclists do for obvious reasons (e.g. compare typical body weight and wrestling skills between the two sports).
- First Aid -- Most (if not all) cyclists crash sooner or later. Road rash has a tough enough time healing nicely without the complication of long hair flowing through the "hamburgered" flesh. We still have to pick out the chunks of asphalt, but a clean shave before the crash makes the job a little easier. A fresh shave of the face and legs--and even the arms if you like--help you feel you're ready for battle and the repercussions of high-speed battle.
- Sex -- This one doesn't apply to my wife, but some ladies actually like smooth legs under the sheets. You'll just have to ask or experiment.
- Other -- There are all sorts of psychological (e.g. "have to shave to be a serious racer") and silly (e.g. aerodynamics) reasons, but the first 4 here are the most realistic and tangible to me. Mountain bikers also say you're less likely to get ticks without hair on your legs, but I'd be inclined to use bug repellent if ticks are an issue.
If there are other real reasons, I'm not aware of them, but I've only been riding for about 45 years, and I've only shaved once, so I'm no expert. But that's one of the great things about the Internet...anybody can pretend to be an expert on everything they know nothing about.