Matplotlib seems to default to Vera fonts (which are also bundled in), that do not include Greek letters.

For a package closely related to math, supporting greek letters in titles, labels, legends based on unicode strings (without the need to switch to a math mode) can be advantageous. Switching from Vera to a free font with a more complete support for non latin alphabets could help also international users.

The Arev font, based on Vera, could be a choice. Alternatively the Deja Vu font collection also supports Greek.