Another thing is that you usually shave for the first time right around when you hit puberty. It also happens to be the same time that your body starts excreting huge amount of testosterone increasing the amount of facial hair you have.
It's the fact that you are starting to shave when your hair is growing in faster than before that gives it the myth that shaving causes it to grow in thicker.
Also, as someone else stated, when you shave, you leave the thick stubble at the base of the hair exposed, making the hair appear to be thicker.