According to the UK Electoral Commission [0]

  > The use of pencils does not in itself increase the likelihood of electoral 

fraud: while pencil marks can be rubbed out, similarly, pen marks can be crossed out. What is key is that the integrity of the process from the point that a voter marks their ballot paper to the declaration of the result is maintained.

Anecdotally, I've head people make the argument that pencils are more reliable than pens (mechanical failure etc.), that pens can be liable to smudging (especially if folded immediately after marking), and that the pencils they use are difficult (though not impossible) to rub out.

[0] https://www.whatdotheyknow.com/request/pencil