It isn't about drag, aerodynamics, or cooling (unless you happen to look like Chewbacca). Swimmers do it because during a 50/100/200m all out sprint, yes, the drag does make a difference - but not to triathletes, and especially since most of us wear wetsuits anyway.
Cyclists shave their legs primarily for two reasons - road rash is much easier to manage on cleanly shaven legs, and for those lucky enough to receive a post-race massage, it's much easier/better with hairless legs. That's it.
Triathletes shave their legs because cyclists always have, and a lot of triathletes log far more saddle time than many roadies - so it just makes sense.
Other reasons they shave are peer pressure, fashion, and simply because some folk prefer it. I've been shaving my legs for longer than I've been shaving my face, and frankly leg hair is a very weird thing for me.
Lastly, no post on "Why shave?" would be complete without the standard reply - 'Cause chicks dig it!!!
<If you're gonna be dumb, you gotta be tough>
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