The many justifications seem to vary from aerodynamics (thin), to looking Euro/Pro (weird), to "chicks dig it" (creepy), to the application of embrocation and ease of massage (meh). But the crux is this: If you ride your bike on the road, chances are you shave your legs.
Yea, it is a little weird and no one apart from other roadies seems to get it, but there it is. I suspect some men do it because if one is to parade around in public wearing brightly colored spandex and chase other spandex-clad men about, it only makes sense to go the distance and shave the legs to really complete the package. I suspect, too, that it may be a thinly veiled attempt not to be outdone by female cyclists who (as the minority in this sport) can shave with a skill and aplomb that few men will ever achieve. SOME FRIENDS OF MINE are working pretty hard on the "minority" front, and if you are a woman, in Colorado, with a bike, I suggest you spend some time getting to know the Beti's and definitely, definitely check out THE BETI BIKE BASH on June 12th.
I am--at best--an inconsistent climber. I can occasionally sprint pretty decently and I am an absolutely dreadful time-trialist. However, I am a fantastically consistent crasher. No matter the shape I'm in, or the confidence with which I can sometimes handle my bike, I can count on falling rather ungracefully from my bike at least once a season. I have had only one really spectacular crash thus far, but my legs are littered with the many small scars of other minor contact with pavement, and in one case, a guardrail.
A long time ago, I rebelled against the smooth-legged roadie scene. Sure I had a shiny road bike and a fair amount of spandex, etc. But I was far too manly to spend too-long minutes in the shower shaving my legs. I perceived the act to be far too... feminine, and it was the last straw. I was intractable. I couldn't make the leap.
Then, one sunny day, I was descending, turning and a bit of gravel sent my arc a little too wide around a corner. Thankfully there was a guardrail there. An old, rusty, slightly jagged guardrail. I escaped nearly unhurt. My bike remained upright and only my knee hit the rail as my brakes grabbed hold and scrubbed speed 'till my wheels locked up and the cloud of my own dust overtook me. Later, after I spent a very long, painful time scrubbing the dirt, rust and (manly) leg hair out, I quietly decided that shaved legs might not be such a terrible idea after all.
In the offseason, I do not bother. Because, when it's 12 degrees outside, it doesn't much matter. Not shaving is part of my winter routine. But it's nearing the end of February and this is Colorado, so where the fuck is my sunshine? I am growing impatient and so I've decided to do something rash. I have shaved my legs while it's (literally) still snowing outside. I have declared the offseason to be over. Winter-be-damned and fuck-off icy, gravelly roads. Lets get on with it, shall we?