I understand why cyclists shave their legs. I shave my legs. But as of recently have felt kind of funny that my legs are smooth and my arms are hairy. Is there a reason why we don't shave our arms too? Or are you supposed to shave both?
For cycling, there are only a few reasons to shave:
There are some sports where shaving is done for performance purposes (chiefly swimming), but anyone that tells you that in cycling is fooling themselves. My personal experience is that crash scars heal better and are less visible when shaved, but that may be an individual thing.
That's quite strange thing to "understand".
There's absolutely no bicycle-specific requirements to shave anything. Most people involved with sports (any sports) will do some shaving from time to time for various reasons. One of the leading reasons for shaving is the simple fact that a layer of body hair present under a layer of clothing significantly impairs ventilation and cooling. Because of that people involved with sports might prefer to shave the covered parts of their body. I'd say that for people living is hot/warm climate and practicing strenuous sport activities shaving the upper body is a must for this reason alone.
Also, having a layer of hair under modern sport clothing might also look bad from the aesthetic point of view simply because long body hair often tens to poke through the fabric and become visible on the outside, creating a weird "hairy jersey" effect (applies both to jerseys and tight shorts, in case of cycling).
As for shaving any body parts not covered by clothing... there's no real reason to do that, at least for ventilation/cooling purposes.