a) Because they've done the soccer equivalent of a second-year pro domestique winning the Tour and (b) because even Gary, who is a known Leicester fan, thought it so impossible, when they did well early in the season, for them (or any such team) to keep it up, that he offered to appear on Match of the Day in his pants if they did.
It's hard to compare sports but, on straight bookmakers' odds, you could get 5000:1 against Leicester winning, at the start of the season. Such high odds are rare for any competitor/team in any competition to then go on and win against.