Nowadays waxing, epilatation and laser hair removal are also options, but whatever form of depilation is used, their legs are hairless, why?
Cycling began in Europe, many Europeans are hairy and Europe has big mountains. Perspiration from riding on the flat becomes ice at altitude cooling muscles & causing them to cramp. Remove the hair, oil up those same legs and the problem is gone.
Still in Europe, and pretty much any other country for that matter, many cyclists ride in rural areas to get their training kilometres in. Rural areas mean animals, animals mean excrement, excrement means germs that get into wounds. These wounds are much easier to clean & disinfect without the hair getting in the way.
Pro cyclists, and many amateur cyclists, have their legs massaged as part of their training recovery regime, massage is more comfortable, effective & easier to perform without all that hair getting in the way.
Finally, aesthetics – a well-formed leg with sculptured muscles is visually pleasing.
P.S. A layer of baby oil on the legs is a great way of keeping out the cold on those fresh mornings when you know a leg warmer is only going to last 30 minutes before you have to stop and take it off.