There is no scientific proof that shaving makes facial hair either thicker or darker. This is a myth believed by many people, but there are some reasons why this belief is so pervasive.
One reason for hair seeming thicker is that the hair that grows back after a shave is more blunt, which makes it feel more coarse and look darker. This is because shaving facial hair with a razor cuts it at a blunt angle. Natural human hair shaft has a tapered end and looks thinner. In actuality, the hair that grows back is the same tapered hair that a man had prior to shaving.
Another reason is that when a young man usually starts shaving it also may coincide with the time his hormones are fluctuating. These hormones cause the development of adult facial hair and so hair may seem thicker or coarser.