You can't pick and choose the body part or location to lose fat. It's kinda like saying that when you do crunches you lose belly fat or if you lift weights for your upper body you lose fat on your arms. That's the myth of spot toning.

When you lose fat, you lose it proportionally all over your body. Women's thighs (and hips, and butt, and belly) tend to pack on more adipose than other parts of our bodies. The good news, however, is we tend to see fat loss in these areas first.

The second part of the equation is what others have mentioned -- when you cycle, you gain muscle mass in your legs/thighs. So, for many women, their thighs actually get larger when they begin riding, and since fat tissue is between the skin and the muscles, your legs might look worse than before you began riding.

If you keep riding and also keep your nutrition in check, you will eventually lose some fat in your thighs.

I always tell clients to remember that we didn't get this way overnight (overweight and out of shape). For most of us, it took years to get where we are today and it will take time to see a positive change.