There are many components of a cigar that will induce relaxation; nicotine, aroma, atmosphere. I'm sure if cigars had no nicotine, people may not smoke as much. At the same time why spend so much money for nicotine delivery when there are much cheaper alternatives? Cigars are a lifestyle, not a habit, no matter how many you smoke a day. Thats what separates us from the chain smokers.
Studies have shown that the human brain will attach a sense of smell to memories better than any other sensory experience (sight, hearing, ect). Attaching the distinct aroma of cigars with fond memories/positive experiences would be the reason why one would "CRAVE" a cigar, not because of the nicotine.