Sociologically speaking, this is basically a style thing, along the lines of
* Serious cyclists shave their legs
* I am (or want to think of myself as, or want to appear to others as) a serious cyclist
* Therefore, I should shave my legs, so that:
- I can look more like a serious cyclist to myself
- I can look more like a serious cyclist to others

Another style reason is that it makes your legs look more defined, which can be kind of cool, or intimidating to other rides, etc.

The main substantive reasons are, as mentioned
* road rash is easier to treat when there's no leg-hair involved
* it's easier to do massage that uses oil

Being a cyclist is only a small part of my identity, and even if it were were, I don't like to do things for non-functional reasons. Where function is concerned:
* I do self-massage all the time, but "dry" without oil; and hair has never been a problem
* last time I got road rash, I was a kid riding a banana-seat single-speed bike with a coaster brake... and I didn't have any leg hair.

Maybe I'll crash tomorrow and wish I had no leg hair. But the odds are low, and shaving legs takes time, which adds up over the years to a lot more than how much extra pain it'll be having road rash with leg-hair, if I ever do.