I know that a lot of companies have strict facial hair policies that don't allow beards or sideburns, but do allow a "well-kept" mustache, but I tend to agree with DP's theory. I used to work at the Hilton here in SF and we would have tons of airline folks come in and a lot of them were gay, although those were mainly the Stewards.
I bet a lot of it has to do with the type of people that choose to be airline captains: perhaps a similar crowd to cops?--people who followed through with their childhood response to the "what do you want to be when you grow up" question." I think that a lot of them take great pleasure in being called "Captain," and mustaches are standard issue to anyone who wants to have an air of authority.