Apart from the typical explanation given in other answers, it is considered that in most cases, a thesis is a work of one or more students supervised by one (or more) academic instructor(s). 

Now, even if you did your thesis without other collaborators, wouldn't it be at least arrogant and egoistic to not  consider your supervisor in mentions and say "we" instead of "I"? 

As in the end more than one people were involved in the thesis (even in different roles), "we" is the most logical and appropriate mentioning way.