OK here are a couple of theories:

In France massages are considered a normal part of training and bike racers will get one every day, and it's much easier to do on hairless legs.

I have a little theory of my own though: You know how people tend to stand with their bike close to them and sometimes they get those "chain tracks" on their legs? Well, that's because the chain's rubbed on their legs, well, imagine leg hair getting caught up in that without your knowing then you push the bike forward to jump on and ride etc., only it goes with a fair number of leg hairs - OUCH!