Psychologically speaking, it's actually weird if you DON'T say "we" when referring to a team you are a fan of. It becomes more intense if you go to/graduated from the school or have some deeper emotional investment in them some other way.
The theory is basically Heinz Kohut's theory of the selfobject, applied to sports. Try The Analysis of the Self. Philip Rieff applied it to celebrity, it can easily be adapted to sports as well, especially after considering Rieff's work.
The people who think something is wrong with "we" or make the used-so-often-they're-no-longer-witty-at-all remarks are actually the morons in this situation.