It's the same reason folks cheer for the NY Yankees if they live in NYC, or the Brazilian soccer team in the World Cup, if they're Brazilian, etc.
It's actually very ingenious marketing by sports teams, or other events that gain an instant "loyalty" due to geography and civic/national pride. Fans might not find it as compelling if it was the Microsoft Yankees playing the General Electric Dodgers in the World Series.
Noam Chomsky had some interesting ideas about spectator sports, how they divert attention, and dull people's minds:
http://www.anakata.hack.se/files/consent.html
Although, I think he's too extreme....
In the old days, nations would fight wars --- now, they fight beauty pageants, to see who is best!
