If you cut yourself it hurts terribly. Or if you have a lot of hair to shave it will get caught in the razor and it could pull the hair which would hurt. But if neither of that happens it shouldn't...
Two reasons - blunt razor and because you are scraping the top-most layer(s) of skin off, making the surface of the leg far more sensitive.
Both apply to men who shave their face infrequently, its...