You know, I've wondered this myself...
As a teenager I used a LOT of hairspray - well... it was the 80's and big hair was in... I had fine whimpy hair (though a healthy dose of it and never imagined I'd start losing it by my mid-twenties!). Later, as my hair did start to thin, I used hairspray to 'keep it in place' and still do... and have often wondered if this is what ultimately lead to or contributed to my hairloss (though I so thin now I can't afford to go with out it now to test that theory - silly isn't it). I also permed my hair until I noticed it starting to thin. My first thought was that it was due to the chemicals so I stopped that immediately... but the thinning didn't stop.
I've used the same brand of hairspray for over a decade because it 'locks' my hair in place and keeps it there all day long - even in the wind (I keep my cut pretty short and close the the head so I don't think it strikes anyone as paticularly odd that my hair doesn't move). But I sometimes wonder if because of its 'staying power' it somehow damaged my hair follicles - but the better part of me figures that's just wishful thinking.
Plus, when I poised this question to the derm he scuffed it off as not being a contributing factor - just bad genes - learn to live with it. (gee... thanks Doctor). In any case, I don't think there is any scientific proof that there is a connection - at least none that I have come across.
The ingredients on my product are listed as SDA-40 Alcohol, Deionized Water, Octylacrylamide/Acrylates/Butylaminoethyl/Methacrylates Copolymer, Amino Methyl Propanol, Mucopolysaccharides, Octyl Methoxy Cinnamate, and Fragrance.... in case this means anything to anyone. It's Greek to me. Yes, I know 'alcohol' is drying... but does that really make a hill of beans difference in my case?? Probably not.