Don't you feel happy when you sweat after a workout? Similarly, a professor feels happy with "messy" chalk all over his hands after a class.
I find it much easier to write using a chalk than a marker. It gives more control. Just like writing with a pencil gives more control than writing with a pen. Moreover, I can easily erase something by hand if I have to make a small correction when I am writing with a chalk and can easily wash it off later on, which is much harder with a marker. Moreover, I don't like the smell of chemicals in a marker. Chalk has no bad odor.
Considering the finances, markers are much more expensive than chalk.