Honestly, IIRC, I've gone both ways. "They" and "we". I can't recall the last time I ever saw the Chargers. I did once go to a Steelers training camp when I lived in PA. That was quite boring. I will, however, listen to Steelers, Penguins, Pirates and especially Pitt scores because I lived in that region for 9 years, and miss it. I also followed Pitt's gymnastics team, even to the occasional away meet. I got to some level of personal familarity with them as a fan, because they aren't drawing 35,000 to their meets. I used "we" a lot to refer to them. Same with gymnastics, soccer and volleyball at my own university, Sacramento State.
"For me, it is far better to grasp the Universe as it really is than to persist in delusion, however satisfying and reassuring." - Carl Sagan