While it is a popular myth that shaving facial hair makes it grow back thicker, that's all it is -- just a myth.
Each hair naturally tapers at the end. When it is cut or shaved, the thicker portion of the hair shaft is exposed, which may make the hair appear coarse, stubbly and darker, especially against light skin. So for a short time, the hair may be more noticeable, but it is not thicker.  Recently shaved hair that begins to grow out may also be darker than other hair due to lack of exposure to the environment. 
Studies carried out as far back as 1928 have debunked the myth that shaving facial hair causes it to grow back thicker. A study published in 1970 also indicated that shaving legs did not cause thicker hair regrowth. 
Hair growth takes place beneath the skin. Hair follicles determine the color, thickness and consistency of hair. The number of hair follicles a person has depends on genetics, age and hormones. Shaving the hair anywhere on the body does not have any effect on the number of hair follicles.