That is interesting observation. As far as I know, every living thing tries to conserve energy and growing hair, especially thick fur is most likely energy intensive.
In very cold climates a thick fur is the greatest energy conservation aspect and naturally occurs in cold climates more often than in warm climates, where conservation of warmth is not only not necessary, but may increase the need for energy resourches to keep the body cool and at optimum functional temperature.
Interestingly, all "cold-blooded" organisms are hairless in order to maximize the body's exposure to the warmth of the sun.