I say "we" all the time, just by habit. It is correct to say "they", not because "we" is entitled sounding, but because like Jerry Seinfeld said: "No, THEY won, YOU watched".
I'm hypocritical I guess, but only because of habit, I actually try to say "they" as much as I can, I just forget all the time. Fans are definitely sort of part of the team if they're buying merchandise, being a part of the community, etc.
I still don't think it's correct to say "we", but some people really make a big deal out of it. It doesn't matter, but it still holds true "they won, you watched". Sort of disrespectful of the athletes when you think about some of the slobs who say "we" that are sitting on the couch, most of which are criticizing the team all season, pissing & moaning, etc.