If you're a swimmer, that actually gives you an easy answer if people comment on it. I know from friends who do local competitive swimming that they shave their legs in order to reduce friction in the water, so they can swim faster. If you're not ready to be out, maybe that would be an option?
Or you can just say that you like the feeling of shaved legs better. Frankly, that's the only reason I shave mine, when I do. I'm pretty lazy about it, but when I get around to it, I like the feeling. They're also more sensitive after being shaved. That might depend on where you live, though. The swimming answer is a lot more acceptable in conservative areas.