Every animal needs a protective layer on its outside. Some animals like beetles and crabs and turtles have hard shell layers on their outsides. Most other animals have a protective layer of skin.
For most of the warm-blooded animals, skin is not enough to help them keep warm. Birds have feathers and mammals have hair. Some mammals have hairs that are tightly packed and cover most of their bodies. I guess you would call that fur. That helps keep them warm.
Humans don't have much hair, except usually on top of the head. So we wear clothes. Maybe that's better than fur all over our bodies. It's easy to put on more clothes to stay warm or take off some clothes to stay cool.