I've been lubricating chains since I was 10 years old. I've also wrenched on motorcycles in the pursuit of both commuting and racing. The idea of not lubricating moving metal parts whether they be in chains or anywhere else is a totally alien concept. All moving mechanicals run more smoothly, efficiently and with less wear with proper lubrication. This has been studied with huge intensity at the molecular level.
Each chain-link is in essence a moving component suspended and acting dynamically on four bearings — or perhaps more accurately four bushings — each pin bearing two loads. I know of no bearing nor bushing that can sustain an optimally healthy life without lubrication. Lubrication in chains is further complicated by the friction on the side plates. Motorcycle people are cautioned about making sure that these are lubricated as well as the pins. Wear in chains is by consequence of these components found in two areas — side-to-side deflection and linear elongation.
My friend of years ago who ran a racing scuderia in Vancouver, Canada taught his young racers to care for their own machines. Each race day was prepared for in advance by systematic maintenance. One obligatory, weekly chore was to lubricate the chain. This was done by detaching the chain, flushing it in solvent and then immersing it in a tin containing 2 weight oil (that's right, 2 weight not 20). The chains were then hung on a rack and left to drip off excess oil into a tin. The runoff was recycled. My friend had been a racer in Czechoslovakia during the Soviet regime. Every part was precious, and they often had to compete on equipment that was not first rate, world standard. Preservation of what they had to work with was paramount.
The retention of lubricant is always a problem, and yet regular servicing is inconvenient and a PITA — especially if we are working outside without a proper workspace. The motocycle industry has tried to make things by introducing polymer 'O' rings on the pins. These chains are expensive. One opinion is that they actually do not last any longer than a cheaper, ordinary chain that is regulary lubricated.
Here is one formula for periodic maintenance that has worked out as a happy compromise — for me anyway. Clamp or flip the bike over so that you can rotate the cranks. Find a thick rag (old toweling seems the best) and soak it in kerosene (paraffin). Diesel might work too, but I've not used it. Or WD-40. Grab the chain so that you are pulling against the derailleur tensioner (on a multi-speed bike). Rotate the chain and watch all of the crud getting swept out of the chain. By moving the rag around from the side plates to the rollers and back again repeatedly the chain will get acceptably clean. Then apply fresh oil making sure each link is well soaked. Next, get a clean rag and rotate the chain again. You will absorb much or even most of what you applied. But the oil that is retained will be more than enough to ensure good lubrication. After your first ride, you may want to wipe again as oil will have run out from underneath the rollers.
The advantage here is that this method, while not being perfect, is so easy and effective that you will not be so hesitant to do the maintenance on a more regular basis. It takes just a few minutes each time, and it is so much easier than running the chain off the bike and doing a complete job.