Well, if you're a cyclist you have every right to do so. If you need to ask why a cyclist should shave his legs, you shouldn't be doing it.
For some time I've been using Rapha chamois cream to (how can I put this delicately?) ease the chafing from long periods in the saddle - and it's very effective. Now you can buy Rapha shaving cream for use not only on the chin, but also on the legs. I haven't tried the shaving cream, but if it's as good as their chamois cream, it'll be worth trying. However, it's worth waiting until your legs are tanned and sinewy before trying this seriously. Both creams are available in the Rapha sale at the time of writing. I may give it a go one day and report back.
In case you're wondering, I have, so far, never been sent anything to review. If I've reported on a product, it's been bought with my own hard-earned cash.