It's an old wives' tale that has persisted through generations. Someone, at some time, concluded that plucking one gray hair caused two to grow back in its place. It's unclear what the scientific basis for this might be. There appears to be none.
If you only have a few grays, you can pluck them. There's no need to start the coloring process for five or six little hairs that lost their pigment.
The problem with plucking is that the gray hair (just the one) will grow back, leaving you with a short, spiky gray hair rather than a long one that at least lies subtly against your head. So if you have more than a few, coloring or embracing the gray is the way to go.
Up next: If you choose color, you don't necessarily need to run to the hair dresser.