Horses have hair and not fur. Although there is no difference between hair and fur, a horse's coat is called hair because it is not dense enough for humans to use as garments.
Horse hair serves several key purposes. It protects a horse against elements, such as wind and cold, and keeps its body temperature stable. Hair also protects a horse's neck vessels and helps keep insects at bay. It is also involved in the creation and movement of pheromones.
Horses have three coats: a summer coat and two winter ones. One of the winter coats is short and thick, while the other is made of long hairs that provide insulating air pockets.