Hair does not become thicker because of shaving.

When hair is shaved or clipped it leaves and abrupt angle and the sharp corners of the hair and the open circumference leaves one feeling a wider coarse hair.

When a hair starts growing the tip is very small compaired to the circumferance of the rest of the hair. The tip is what is felt to be small rounded and smooth.

No other physical evidence exist indicating otherwise.

Hope this helps.
MikeB